Senior Quantitative Analyst - Rates

U.S. Bank • Charlotte, NC

5d • $143,905 - $169,300

About The Position

The Global Capital Markets group at U.S. Bank is building a front-office quantitative analytics team to develop and industrialize core product analytics, market data frameworks, and rate modeling capabilities. This team will enable consistent pricing, risk measurement, and execution across the FICC platform. The role involves building and implementing production-grade pricing and risk models for interest rate and FX derivatives, integrating them into a scalable, real-time analytics and risk platform. The Senior Quantitative Analyst will be a desk-aligned quant supporting Rates and FX trading, collaborating with traders, risk oversight, technology, and model governance. The focus is on delivering robust, reusable modeling and data capabilities for intraday decision-making and platform scalability. Strong communication skills are essential.

Requirements

• Ph.D. or advanced degree in Mathematics, Physics, Engineering, Computer Science, or related quantitative discipline.
• 10+ years of front-office quantitative experience in Rates and/or FX derivatives.
• Strong expertise in interest rate modeling, curve construction and calibration, and market data and term structure modeling.
• Strong programming skills in C++, Java, or equivalent, across model development, integration into production systems, and testing and validation.
• Demonstrated experience supporting trading desks with direct P&L impact through quantitative models and analytics.
• Strong communication skills with the ability to engage traders, engineers, and control functions.

Nice To Haves

• Experience building or contributing to real-time pricing and risk platforms, not just standalone models.
• Strong understanding of fixed income market structure and product behavior.
• Experience designing reusable analytics and data frameworks across products.
• Solid knowledge of stochastic calculus, SDE and PDE, and quantitative financial theories.
• Solid knowledge of numerical analysis methods and optimization techniques.
• Solid knowledge of data-driven modeling approaches where applicable.
• Experience working in regulated environments, including model governance and validation, risk and finance alignment, and audit and regulatory interaction.
• Proven ability to translate quantitative models into production systems used by trading desks.

Responsibilities

• Owns development and implementation of product analytics, market data, and rate modeling frameworks across Rates and FX derivatives.
• Ensures models are integrated into a real-time pricing and risk platform, with consistency across Trading, Risk, and Finance.
• Ensures modeling frameworks are scalable, reusable, and not tied to desk-specific or legacy workflows.
• Supports development of core curve, pricing, and risk infrastructure used across multiple products and asset classes.
• Partners with Trading, Risk, Technology, and Model Validation to ensure models meet both commercial and regulatory expectations.
• Takes leadership responsibility over intraday support of Rates and FX trading desks, including pricing, risk analysis, and model-driven decision support.
• Leads development and maintenance of USD and non-USD yield curves, market data inputs and term structure frameworks, and pricing and risk model integration across products.
• Develops quantitative models and frameworks for interest rate derivatives (linear and optionality products), FX derivatives, and exchange-traded futures and options.
• Designs and enhances curve construction methodologies, including single-curve and multi-curve frameworks and consistent treatment of market data across products.
• Contributes to modeling of cross-asset and credit-linked products (e.g., TRS, CDS-linked structures, structured notes) where required.
• Partners with Technology teams to integrate models into production pricing, risk, and trading systems, ensuring performance, scalability, and reliability, and reducing reliance on spreadsheet-based or manual processes.
• Collaborates with Model Risk and Risk Oversight to support model validation, approval, and monitoring, and ensures models meet internal governance and regulatory expectations.
• Provides leadership, guidance, and mentoring to junior team members.

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
• Incentive and recognition programs
• Equity stock purchase
• 401(k) contribution and pension (all benefits are subject to eligibility requirements)

What This Job Offers

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