Quantitative Modeling Director - ALM Models

Wells Fargo & Company • Charlotte, NC

1d

About The Position

About this role: Wells Fargo is seeking a Quantitative Analytics Director to lead the Deposits Modeling team within BSIRRM, owning the development and implementation of quantitative deposits models. This role will report to the Head of BSIRRM and manage a team of analysts with responsibility to lead model development that is used in the management of the company’s interest rate risk profile. This role requires experience in predictive modeling and data analysis to develop quantitative models to capture behavioral features of deposits products in dynamic rate and macroeconomic conditions. The models are used to forecast deposits balance, attrition and rate sensitivity to inform the actions to optimize NII and the company’s interest rate risk profile. Treasury at Wells Fargo is a dynamic team that is responsible for managing Wells Fargo's balance sheet including capital, liquidity, funding, and interest rate risk management. Treasury seeks to ensure Wells Fargo always maintains sufficient capital and liquidity resources to support growth in the Company's businesses, while also ensuring a satisfactory financial cushion exists to protect against unforeseen stresses in the economic environment or the Company's operations. Treasury also provides regulators, senior leaders, and the Board of Directors with key information to support risk management, financial performance management, and strategic planning. The Balance Sheet & Interest Rate Risk (BSIRRM) Group performs quantitative analysis of the balance sheet behavior and has primary responsibility to measure interest rate risk (IRR) and design corresponding risk mitigation strategies, as well as completing and reporting on consolidated balance sheet and net interest income (NII) forecasts. Team members oversee Forecasting and IRR simulation models, provide management with insight concerning changes in balance sheet trends and IRR profile, and contribute to the generation of risk management strategies. In this role, you will: Lead and manage a team responsible for development and management of deposits balance forecasting, attrition and rate repricing models in Balance Sheet management (ALM) Communicate design and results of complex models to diverse audience, including senior management, bank supervisors, Model Risk Management (MRM), Financial Risk Management (FRM), and Internal Audit Manage adherence to model validation governance ensuring models are in compliance with respective policies and performance standards Drive a streamlined, scalable, and aligned operational risk framework that supports strategic priorities Support high-impact strategic projects and initiatives, ensuring timely delivery of results that align with BSIRRM’s business objectives Monitor and report on progress, risks, and issues, providing regular updates to senior leadership and other stakeholders Collaborate with BSIRRM leader and management team to define and execute critical and strategic initiatives. Track progress against key objectives and ensure alignment across department Lead groups responsible for creation, implementation, validation, and ongoing maintenance Analyze models, manage markets, credit, counterparty, and operational risks Identify opportunities and strategies for analytics and data science through experienced managers and business strategies Recommend and implement strategies for developing and utilizing model resources to predict, improve fundamentals and new initiatives Manage teams of highly skilled quantitative analysts in mathematical or scientific disciplines and managers of such groups

Requirements

• 8+ years of Quantitative Analytical experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
• 4+ years of management or leadership experience
• Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, accounting, finance, economics, or computer science

Nice To Haves

• PhD in a quantitative discipline
• Experience with Deposit modeling, Asset Liability Management, Funds Transfer Pricing, Stress Testing, and Forecast/Planning
• Knowledge of programming in Python, SAS, R, and SQL
• Experience with modeling techniques such as regularization (e.g. LASSO), Error-correction models, ARIMA, discrete-time survival models, and Panel regressions
• Experience with regulatory requirements surrounding the management of model risk, interest rate risk, liquidity, and capital
• Knowledge of financial institution balance sheet, product offerings, and financial risk management
• Familiarity with concepts behind money supply and demand, as well as understanding of interest rate and yields curve models
• Proven track record of leading complex projects and driving organizational change
• Excellent leadership, communication, and interpersonal skills.
• Ability to work effectively with cross-functional teams and manage multiple priorities
• Ability to thrive in a fast-paced, dynamic environment
• Ability to build relationships with key stakeholders at all levels of the organization
• High EQ and comfortable influencing all levels of the organization
• High level of integrity and professionalism

Responsibilities

• Lead and manage a team responsible for development and management of deposits balance forecasting, attrition and rate repricing models in Balance Sheet management (ALM)
• Communicate design and results of complex models to diverse audience, including senior management, bank supervisors, Model Risk Management (MRM), Financial Risk Management (FRM), and Internal Audit
• Manage adherence to model validation governance ensuring models are in compliance with respective policies and performance standards
• Drive a streamlined, scalable, and aligned operational risk framework that supports strategic priorities
• Support high-impact strategic projects and initiatives, ensuring timely delivery of results that align with BSIRRM’s business objectives
• Monitor and report on progress, risks, and issues, providing regular updates to senior leadership and other stakeholders
• Collaborate with BSIRRM leader and management team to define and execute critical and strategic initiatives.
• Track progress against key objectives and ensure alignment across department
• Lead groups responsible for creation, implementation, validation, and ongoing maintenance
• Analyze models, manage markets, credit, counterparty, and operational risks
• Identify opportunities and strategies for analytics and data science through experienced managers and business strategies
• Recommend and implement strategies for developing and utilizing model resources to predict, improve fundamentals and new initiatives
• Manage teams of highly skilled quantitative analysts in mathematical or scientific disciplines and managers of such groups

What This Job Offers

• Job Type: Full-time
• Career Level: Manager