Senior Counterparty Risk Modeler — Derivatives & Exposure

U.S. Bank; Charlotte, Northern (NC, KY); Hybrid; USD 127,000 - 149,000; Full time

Benefits offered by this job

Healthcare

Life insurance

401(k)

Paid vacation

Disability insurance

Holidays

Parental leave

Job summary

U.S. Bank seeks a Senior Quantitative Model Analyst to develop and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

The role collaborates with trading desks, risk management, model risk, and internal audit, applying Monte Carlo methods and derivatives pricing to measure PFE/EE across portfolios.

Applicants typically hold a PhD/MA/MS in a quantitative field and have 5+ years of related modeling experience, with strong Python/C++ skills.

Qualifications

• Bachelor’s degree in a quantitative field and 10+ years of experience
• MA/MS in a quantitative field with 6+ years of related experience
• PhD in a quantitative field with 5+ years of related experience
• Strong programming skills in Python or C++, with experience building quantitative models

Responsibilities

• research, design, develop, test, and maintain counterparty exposure models for derivatives and financing transactions
• develop and enhance methodologies for measuring PFE and EE across portfolios and risk factors
• perform backtesting, sensitivity analysis, and model monitoring at trade and portfolio levels
• collaborate with trading desks, risk management, and regulatory stakeholders to meet requirements
• prepare technical documentation and present results to senior management and governance committees
• contribute to ongoing enhancements of modeling framework and analytics infrastructure

Skills

Python

C++

Quantitative modeling

Derivatives analytics

Monte Carlo simulations

Stochastic processes

Communication skills

Education

Bachelor’s degree in quantitative field

MA/MS in quantitative field

PhD in quantitative field

Job description

U.S. Bank seeks a Senior Quantitative Model Analyst to develop and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

The role collaborates with trading desks, risk management, model risk, and internal audit, applying Monte Carlo methods and derivatives pricing to measure PFE/EE across portfolios.

Applicants typically hold a PhD/MA/MS in a quantitative field and have 5+ years of related modeling experience, with strong Python/C++ skills.