Senior Lead Quantitative Analytics Specialist

About this role:

Wells Fargo is seeking a Senior Lead Quantitative Analytics Specialist to join its model validation team in Corporate Model Risk (CMoR). Our diverse lines of business offer a world of opportunity to expand your capabilities and advance your career. We invest in our people and provide a supportive environment in which to learn and grow.

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CMoR is responsible for independently overseeing the management of model risk exposures and the quality of model risk management practices across the company. Market risk models are used to measure the risk of possible economic loss from adverse changes in market risk factors such as interest rates, credit spreads, foreign exchange rates, and equity and commodity prices, as well as mortgage rates and market liquidity dynamics. Market risk includes, but is not limited to, the risk of economic loss associated with price risk in the trading book, fair-value price risk of available-for-sale (AFS) securities and held-for-sale (HFS) assets, hedge-effectiveness risk associated with the mortgage book, and impairment on private equity investments.

This highly visibly position will provide interaction with various key model stakeholders 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 for this role will include, but not be limited to, the following:

Model validation

• Completing model validations timely and effectively under firm's model risk management policies, regulatory guidance, and industry best practices.

• Reducing model risk to meet or exceed regulatory and industry standards with effective challenges to business models in the areas of developmental data, framework, assumptions, specification, and implementation.

• Identifying model weaknesses with keen understanding of industry best practices and tradeoffs between different approaches.

• Communicating clearly and effectively model issues and limitations to key stakeholders in both validation reports and model forums.

• Working with stakeholders to resolve validation findings and mitigating controls over limitations.

Leadership

• Contributing to the improvement of validation processes by developing and improving standards and procedures.

• Leading and contributing to model libraries, testing automation tools, and training of junior team members.

• Interfacing actively with senior management and key stakeholders on key modeling issues, weaknesses of the processes or procedures, and driving practical solutions.

• Engaging effectively with regulators, internal audits, and other key stakeholders with respect to models, validation activities, model risk identification, and model risk management.

Required Qualifications:

• 7+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education.

• Master's degree or higher in a quantitative discipline 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

• Solid knowledge of financial derivatives, capital markets, and general derivative pricing theories

• Strong Experience with model development or validation for trading models including

• Interest rate and FX derivative pricing.

• Interest rate curve models and SABR volatility surface model.

• Risk measurement models such as VaR and Counterparty credit risk models.

• Experience with pricing and risk analytics for Equity, Commodity and Credit products is a plus.

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

• Experience with numerical methods such as Monte Carlo, PDE, optimization and regression etc.; good Experience in research

• Work experience as Front Office quant or model validator

• Experience with model development and testing methodology

• Understanding of model usage for Value-at-Risk and CCAR/Stress test

• Understanding of the regulatory environment and its relation to model development and model validation.

• Excellent verbal and written communication skills with an ability to document and communicate critical information and share results with a variety of audiences, of either technical or non-technical background.

• Project management skills with an ability to engage developers to plan for and complete complex model validation projects independently

Job Expectations:

• Ability to travel up to 5% of the time.

• This position offers a hybrid work schedule.

• Willingness to work on-site at stated location on the job opening.

Posting End Date:

29 Mar 2024

• Job posting may come down early due to volume of applicants.

We Value Diversity

At Wells Fargo, we believe in diversity, equity and inclusion in the workplace; accordingly, we welcome applications for employment from all qualified candidates, regardless of race, color, gender, national origin, religion, age, sexual orientation, gender identity, gender expression, genetic information, individuals with disabilities, pregnancy, marital status, status as a protected veteran or any other status protected by applicable law.

Employees support our focus on building strong customer relationships balanced with a strong risk mitigating and compliance-driven culture which firmly establishes those disciplines as critical to the success of our customers and company. They are accountable for execution of all applicable risk programs (Credit, Market, Financial Crimes, Operational, Regulatory Compliance), which includes effectively following and adhering to applicable Wells Fargo policies and procedures, appropriately fulfilling risk and compliance obligations, timely and effective escalation and remediation of issues, and making sound risk decisions. There is emphasis on proactive monitoring, governance, risk identification and escalation, as well as making sound risk decisions commensurate with the business unit's risk appetite and all risk and compliance program requirements.

Candidates applying to job openings posted in US: All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other legally protected characteristic.

Candidates applying to job openings posted in Canada: Applications for employment are encouraged from all qualified candidates, including women, persons with disabilities, aboriginal peoples and visible minorities. Accommodation for applicants with disabilities is available upon request in connection with the recruitment process.

Applicants with Disabilities

To request a medical accommodation during the application or interview process, visit Disability Inclusion at Wells Fargo.

Drug and Alcohol Policy

Wells Fargo maintains a drug free workplace. Please see our Drug and Alcohol Policy to learn more.