Senior Counterparty Risk Modeling Specialist

U.S. Bank; Chicago (IL); On-site; USD 127,000 - 149,000; Full time

Benefits offered by this job

Healthcare

Life insurance

Disability insurance

Parental leave

401(k) retirement plan

Paid vacation

Paid holidays

Adoption assistance

Sick leave

Job summary

U.S. Bank seeks an expert in quantitative risk modeling to develop, validate, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

You will measure PFE/EE, work with traders and risk teams, and enhance Monte Carlo risk analytics. The role requires advanced programming skills (Python/C++), a strong academic record, and the ability to communicate complex concepts to technical and non-technical stakeholders.

Qualifications

• Bachelor’s degree in a quantitative field and 10+ years of relevant experience or MA/MS and 6+ years or PhD and 5+ years
• Strong programming skills in Python, C++, or similar languages
• Deep understanding of derivatives pricing, stochastic processes, Monte Carlo methods, and risk modeling

Responsibilities

• Research, design, develop, test, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing transactions.
• Develop and enhance methodologies for measuring PFE, EE, and other CCR risk metrics.
• Support pricing models and risk factor simulation frameworks used in Monte Carlo exposure calculations.
• Develop exposure methodologies for Prime Brokerage and Equity Finance products.
• Perform model monitoring, backtesting, sensitivity analysis, and performance assessments at risk factor, trade, and portfolio levels.
• Collaborate with trading desks, risk managers, technology teams, and stakeholders to meet requirements.
• Collaborate with Model Risk Management, Internal Audit, and regulatory agencies to support reviews and examinations.
• Prepare technical documentation covering model methodology, assumptions, limitations, implementation and monitoring results.
• Present quantitative methodologies and risk analytics to senior management and governance committees.
• Contribute to ongoing enhancement of the CCR modeling framework and analytics infrastructure.

Skills

Programming skills

Derivatives analytics

Monte Carlo simulation

Quantitative risk modeling

Communication skills

Education

Bachelor's degree in quantitative field

MA/MS in quantitative field

PhD in quantitative field

Tools

Python

C++

Job description

U.S. Bank seeks an expert in quantitative risk modeling to develop, validate, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

You will measure PFE/EE, work with traders and risk teams, and enhance Monte Carlo risk analytics. The role requires advanced programming skills (Python/C++), a strong academic record, and the ability to communicate complex concepts to technical and non-technical stakeholders.