Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling
About The Position
The Senior Quantitative Model Analyst will leverage advanced quantitative methods, strong programming skills, and derivatives expertise to develop, enhance, and maintain counterparty exposure models supporting U.S. Bank’s trading, prime brokerage, and securities financing businesses. The modeling framework primarily uses Monte Carlo simulation and derivative valuation methodologies to measure counterparty credit risk metrics such as Potential Future Exposure (PFE) and Expected Exposure (EE). The role covers interest rate, foreign exchange, equity, and commodity derivatives, as well as prime brokerage, equity finance, and securities financing transactions. Models support the Bank’s Counterparty Credit Risk Management framework, regulatory requirements, and business growth initiatives. The analyst collaborates with trading desks, risk management, technology partners, model validation, internal audit, and regulatory stakeholders. The role includes model development and monitoring, methodology documentation, quantitative analysis, and presentation of model results to technical and non-technical audiences, including senior management and governance committees. The position requires working from a U.S. Bank location three or more days per week.
Requirements
- Bachelor’s degree in a quantitative field and 10 or more years of relevant experience, or a master’s degree in a quantitative field and six or more years of related experience, or a 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 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 and 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’s or PhD degree in a quantitative or related field, such as economics, finance, mathematics, statistics, engineering, or 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 counterparty credit risk metrics.
- Support 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 risk factor, trade, and portfolio levels.
- Partner with trading desks, risk managers, technology teams, and business stakeholders to ensure quantitative solutions meet business, risk, and regulatory requirements.
- Collaborate with Model Risk Management, Internal Audit, and regulatory agencies on model reviews, validation activities, and regulatory examinations.
- Prepare technical documentation describing 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 enhancements of the Bank’s counterparty credit risk modeling framework, analytics infrastructure, and quantitative capabilities.
Benefits
- Healthcare coverage, including medical, dental, and vision.
- Basic term and optional term life insurance.
- Short-term and long-term disability coverage.
- 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.
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What This Job Offers
Job Type
Full-time
Career Level
Senior
