Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling

U.S. Bank National Association • Charlotte, NC

1d • $126,820 - $149,200 • Hybrid

About The Position

The successful candidate will leverage advanced quantitative methods, strong programming skills, and deep derivatives expertise to develop, enhance, and maintain counterparty exposure models used to support the Bank's trading, prime brokerage, and securities financing businesses. This role requires close collaboration with trading desks, risk management, technology partners, model validation, internal audit, and regulatory stakeholders. The ideal candidate will possess strong expertise in derivative pricing, stochastic simulation, and counterparty exposure modeling, with the ability to apply quantitative techniques to a broad range of products and portfolios. The modeling framework is primarily based on Monte Carlo simulation and derivative valuation methodologies and supports the measurement of key counterparty credit risk metrics such as Potential Future Exposure (PFE) and Expected Exposure (EE). The team's models support a broad range of products and businesses, including: Interest Rate Derivatives, Foreign Exchange Derivatives, Equity Derivatives, Commodity Derivatives, Prime Brokerage and Equity Finance Products, Securities Financing Transactions. These models are used to estimate and manage counterparty credit exposure in support of the Bank's Counterparty Credit Risk Management framework, regulatory requirements, and business growth initiatives.

Requirements

• Bachelor’s degree in a quantitative field, and 10 or more years of relevant experience OR MA/MS in a quantitative field, and six or more years of related experience OR PhD in a quantitative field, and five or more years of related experience.
• Strong programming skills in Python, C++, or similar languages, including experience developing quantitative models and analytical libraries.
• Deep understanding of financial markets, derivative products, Prime Brokerage activities, and Securities Financing Transactions, including the key drivers of counterparty credit exposure.
• Demonstrated expertise in derivative pricing, stochastic processes, Monte Carlo simulation techniques, and quantitative risk modeling.
• Strong analytical and problem-solving abilities with exceptional attention to detail.
• Excellent written and verbal communication skills, including the ability to explain complex quantitative concepts to technical and non-technical stakeholders.

Nice To Haves

• Master or Ph.D degree in a quantitative or related field (e.g., economics, finance, mathematics, statistics, engineering, computer science) or equivalent practical experience.
• Five or more years of experience in quantitative modeling, quantitative research, derivatives analytics, risk management, or a related field.

Responsibilities

• Research, design, develop, test, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing transactions.
• Develop and enhance methodologies for measuring Potential Future Exposure (PFE), Expected Exposure (EE), and other CCR risk metrics.
• Support the development and maintenance of pricing models and risk factor simulation frameworks used in Monte Carlo exposure calculations.
• Develop and enhance exposure methodologies for Prime Brokerage and Equity Finance products.
• Perform model monitoring, benchmarking, backtesting, sensitivity analysis, and performance assessments at the risk factor, trade, and portfolio levels.
• Partner closely with trading desks, risk managers, technology teams, and business stakeholders to ensure quantitative solutions effectively meet business, risk, and regulatory requirements.
• Collaborate with Model Risk Management, Internal Audit, and regulatory agencies to support model reviews, validation activities, and regulatory examinations.
• Prepare clear and comprehensive technical documentation covering model methodology, assumptions, limitations, implementation requirements, and performance monitoring results.
• Present quantitative methodologies, model performance results, and risk analytics to technical and non-technical audiences, including senior management and governance committees.
• Contribute to the ongoing enhancement of the Bank's counterparty credit risk modeling framework, analytics infrastructure, and quantitative capabilities.

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