The Quantitative Analyst is responsible for all aspects of market risk analytics related to U.S. Bank's capital markets activities. These responsibilities/qualifications include:
Overall: Back up Senior Market Risk Manager on quantitative functions - e.g. troubleshoot failed data feeds, calculation errors in reports, etc. Analysis Risk results to help explain to management changes in risk levels. Identify anomalies in risk numbers and carry any corrections to the risk data. Perform risk analysis and data testing on new trading products, curves and other data inputs into U.S. Bank's risk platform. Present results to management. Assist in both internal audits and external regulatory activity.
Risk Management Support:
Run daily production of VaR and related reports. Review and understand the output as well as the source of changes in risk levels. Point out and discuss key risk details with the Senior Market Risk Manager.
Work with operations associates to ensure proper attribution of P&L. Perform month-end price verification for trading books.
Back up Senior Market Risk Manager in monitoring intraday risk for the trading books.
Support model validations, respond to and implement recommendations. Implement Model Monitoring program for VaR models.
Build quantitative tools as needed to provide effective analysis of the market risk.
Review market data that feeds the VaR/risk models.
Ensure accurate trade capture.
Help prepare and compile the monthly Risk reports and decks.
Assist in the preparation of audit documentation.
Update Market Risk procedures documentation and Model Documentation; where required.
Capacity to understand valuation of instruments traded in Capital Markets; programming experience, knowledge of Excel VBA, MS SQL or Java a plus.
Advanced understanding of applicable laws, regulations, financial services, and regulatory trends that affect assigned line of business
Strong statistical modeling background based on technical training or advanced education in a quantitative field
Advanced 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 package
Strong data compilation, programming skills and qualitative analysis skills
Advanced knowledgeable of quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
Demonstrated independence, team work and leadership skills
Strong project management skills
Excellent written and verbal communication skills