Quantitative Model Validation Analyst
About The Position
Performs independent validation of market risk and capital markets models used in trading, valuation, risk measurement, and regulatory capital calculations. Models may include VaR, counterparty credit risk, xVA, stress testing, pricing and valuation models, sensitivities/Greeks, curve construction, and related risk analytics. The role carries out validation activities throughout the model lifecycle, including conceptual soundness reviews, quantitative testing, implementation and controls review, ongoing performance evaluation, and tracking model limitations and compensating controls. Produces clear, well-structured model validation documentation aligned with internal standards and regulatory expectations. Deliverables include validation reports, presentations, test results, code documentation, monitoring report reviews, and related procedures. Works closely with model developers, risk managers, and governance teams while maintaining independent challenge and escalating material model risks. Supports responses to regulatory exams, internal audit, and supervisory findings. The role requires working from a U.S. Bank location three or more days per week.
Requirements
- Bachelor’s degree in a quantitative field and five or more years of relevant experience; or a master’s degree in a quantitative field and three or more years of related experience; or a Ph.D. in a quantitative field and less than two years of related experience.
- Strong foundational knowledge of market risk and capital markets concepts, including derivatives, pricing, and risk measurement.
- Experience with statistical and quantitative modeling techniques, including regression, time series analysis, simulation, and parametric or nonparametric methods.
- Proficiency in Python or similar statistical/programming tools used for validation and testing.
- Ability to manage multiple tasks across various timelines.
- Strong analytical, organizational, problem-solving, negotiation, and project management skills.
- Demonstrated independence, teamwork, and leadership skills.
- Effective interpersonal, verbal, and written communication skills.
Nice To Haves
- Familiarity with model validation methodologies and regulatory expectations, including SR 26-2 and OCC 2026-13.
- Understanding of financial products and trading strategies across one or more asset classes.
- Derivative pricing methods and quantitative risk management experience; preference given to applicants with this experience.
Responsibilities
- Perform independent validation of market risk and capital markets models used in trading, valuation, risk measurement, and regulatory capital calculations.
- Review conceptual soundness with reference to financial theory and market practice.
- Conduct quantitative testing, including benchmarking, sensitivity analysis, back testing, stress testing, and outcomes analysis.
- Review model implementation and controls.
- Evaluate ongoing model performance and monitoring processes.
- Identify and track model limitations, compensating controls, and overlays.
- Produce validation reports, presentations, test results, code documentation, monitoring report reviews, and related procedures.
- Collaborate with model developers, risk managers, and governance teams while providing independent challenge and escalating material model risks.
- Support responses to regulatory examinations, internal audit, and supervisory findings.
Benefits
- Healthcare (medical, dental, and vision)
- Basic term and optional term life insurance
- Short-term and long-term disability
- Pregnancy disability and parental leave
- 401(k) and employer-funded retirement plan
- Paid vacation of two to five weeks, depending on salary grade and tenure
- Up to 11 paid holiday opportunities
- Adoption assistance
- Sick and Safe Leave accruals of one hour for every 30 hours worked, up to 80 hours per calendar year unless otherwise provided by law
- Incentive and recognition programs
- Equity stock purchase
- 401(k) contribution and pension, subject to eligibility requirements
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
