Senior Counterparty Credit Risk Modeling Manager

U.S. Bank • Minneapolis, MN

3d • Hybrid

About The Position

The successful candidate will possess strong quantitative expertise and advanced programming skills to develop counterparty credit risk models for derivatives trading. This role involves close collaboration with counterparty credit risk managers to define and test model assumptions. The modeling framework is based on Monte Carlo simulations and derivative valuation, and the ideal candidate will be a subject-matter expert in both derivative pricing and Monte Carlo methodologies. Underlying products include derivatives across Rates, FX and Equity and Securities Financing Transactions (SFTs). These models are used to estimate counterparty exposures in support of Counterparty Credit Risk Management.

Requirements

• Bachelor’s degree (MA/MS/PhD strongly preferred) and eight or more years of relevant experience.
• Strong proficiency in at least one programming language such as C++ or Python, with a minimum of three years of hands-on experience.
• Prior experience with RiskMetrics and equity derivatives modeling is required.
• Deep knowledge of derivative products, financial markets, and key risk drivers, particularly within OTC and listed derivatives and securities financing transactions.
• Demonstrated expertise in derivative pricing, Monte Carlo simulation techniques, and counterparty credit exposure modeling.
• Excellent problem-solving and analytical skills, with strong written and verbal communication abilities.

Nice To Haves

• Four or more years of experience leading a quantitative modeling team is a plus.
• Extensive knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, and other statistical models, various model validation tests/methodologies, using SAS or similar statistical packages.
• Advanced data compilation, programming skills, and qualitative analysis skills.
• Thorough knowledge of the quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches.
• Thorough knowledge of applicable regulatory rules, guidance, or supervisory letters.
• In depth knowledge of Bank products and services.
• Demonstrated independence, teamwork, and leadership skills.
• Strong analytical, organizational, problem-solving, negotiation, and project management skills.
• Excellent interpersonal, verbal, and written communication skills.

Responsibilities

• Research, design, develop, test, and support simulation‑based exposure models for derivatives trading, including advanced methodologies for measuring Potential Future Exposure (PFE) and Expected Exposure (EE).
• Maintain and continuously monitor simulation and pricing models, including conducting backtesting on risk factors, trades, and portfolios.
• Collaborate closely with derivatives trading desks, risk management teams, and technology partners to ensure business and technical requirements are effectively delivered.
• Engage with internal review groups, including Model Validation and Internal Audit, as well as external stakeholders such as regulators (OCC and FRB), to support model review and approval processes.
• Contribute clear and thorough documentation, and present complex modeling concepts to both technical and non-technical audiences.

Benefits

• Healthcare (medical, dental, 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 (from 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 worked, up to 80 hours per calendar year unless otherwise provided by law

What This Job Offers

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