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Quantitative Analytics Consultant 2 - Counter-Party Credit Model Validation

Expired Job

Wells Fargo Frederick , MD 21705

Posted 2 weeks ago

Job Description:

At Wells Fargo, we want to satisfy our customers financial needs and help them succeed financially. We're looking for talented people who will put our customers at the center of everything we do. Join our diverse and inclusive team where you'll feel valued and inspired to contribute your unique skills and experience.

Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.

Corporate Risk helps all Wells Fargo businesses identify and manage risk. We focus on three key risk areas: credit risk, operational risk and market risk. We help our management and Board of Directors identify and monitor risks that may affect multiple lines of business, and take appropriate action when business activities exceed the risk tolerance of the company.

The Corporate Model Risk (CMoR) group is an organizational unit housed within Corporate Operational Risk and Compliance. This group is responsible for independently overseeing the management of model risk exposures and the quality of model risk management practices across the company.

CMoR is seeking an experienced Quantitative Analyst with background in capital markets and experience with counterparty credit models (XVA, PFE) to work in this highly visible and critical team.

This individual is responsible for the completion of model validation and annual model review reports for complex quantitative models; design and completion of independent testing related to those models; development of model benchmarks and alternative models to drive better model validation and model risk metrics.

This position will interact with various key model stakeholders (such as Trading Model Development, CVA Desk, PFE Model Development, Market Risk Model Development, Market Risk Oversight and Model Monitoring teams) and therefore requires someone with the ability to develop and maintain strong strategic partnerships. The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important. The team operates in a fast paced environment and the ability to multi-task and meet strict timelines is critical.

Responsibilities include, but will not be limited to, the following:

  • Working independently to perform model validations for XVA (CVA/DVA), PFE, and margin models covering all asset classes including fixed income, foreign-exchange, commodities, equities, and credit

  • Providing effective challenge to models developed in the lines of business

  • Identifying and working to reduce model risk according to standards that meet or exceed internal and regulatory expectations

  • Identifying conceptual, input, and implementation weaknesses in models and understanding tradeoffs with other approaches

  • Communicating model issues and limitations to key stakeholders

  • Contributing to improvement of model building and use practices

  • Providing leadership and consultation to less experienced validators

  • Providing analytical support and offering insights regarding a wide array of business initiatives

  • Interacting with senior management and regulators on key modeling issues, including the identification, management, and mitigation of model risk

  • Contribute collaboratively on projects and discussions

Required Qualifications

  • 4+ years of experience in an advanced scientific or mathematical field
  • A master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science

Desired Qualifications

  • A PhD in a quantitative discipline

  • Good verbal, written, and interpersonal communication skills

  • Knowledge and understanding of stochastic processes and numerical methods

Other Desired Qualifications

  • Work experience as Front Office quant or model validator

  • Capability to multi-task, finish work within strict timelines, and provide timely requests for information and follow-up questions

  • Attention to detail in both analytics and documentation

  • Aptitude for synthesizing data to 'form a story' and align information to contrast/compare to industry perspective

  • Strong experience with model development or validation for counterparty credit models such as CVA/DVA, PFE, back-testing

  • Experience with derivatives pricing across all asset classes

  • Experience with econometric and statistical models

  • Strong programming skills in one or more of the following: C++, Matlab, Python, R

  • Experience with numerical methods such as Monte Carlo, PDE, optimization, regression etc.

  • Experience with model development and testing methodology

  • Ability to document critical information and share results with a variety of audiences, both technical and non-technical

  • Understanding of the regulatory environment and it's relation to model development and model validation

Disclaimer

All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.

Relevant military experience is considered for veterans and transitioning service men and women.

Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.

CORP RISK/CORPORATE RISK 0016762 CORP RISK/CORPORATE RISK


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Quantitative Analytics Consultant 2 - Counter-Party Credit Model Validation

Expired Job

Wells Fargo