Senior Counterparty Risk Quant Analyst

Usbank; Charlotte (NC); On-site; USD 127,000 - 149,000; Full time

Benefits offered by this job

Healthcare

401(k) plan

Paid vacation

Holidays

Adoption assistance

Job summary

U.S. Bank is seeking a senior quantitative professional to develop, enhance, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

You will work with trading desks, risk managers, and technology partners to measure PFE, EE, and other CCR metrics using Monte Carlo simulations. The role requires deep expertise in derivative pricing, stochastic processes, and risk modeling, with strong Python/C++ programming skills and the ability to communicate

Qualifications

• Bachelor’s degree in a quantitative field with 10+ years of experience.
• MA/MS in a quantitative field with 6+ years of experience.
• PhD in a quantitative field with 5+ years of experience.

Responsibilities

• Research, design, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing transactions.
• Develop methodologies for measuring Potential Future Exposure (PFE) and Expected Exposure (EE) and other CCR risk metrics.
• Support pricing models and risk-factor simulation frameworks used in Monte Carlo exposure calculations.
• Develop and enhance exposure methodologies for Prime Brokerage and Equity Finance products.
• Monitor model performance, benchmarking, backtesting, and sensitivity analyses at various levels.
• Collaborate with trading desks, risk managers, technology teams, and stakeholders to meet requirements.
• Coordinate with Model Risk Management, Internal Audit, and regulators for reviews and examinations.
• Prepare technical documentation covering methodology, assumptions, and performance.

Skills

Python

C++

Derivatives analytics

Risk management

Quantitative modeling

Communication skills

Education

Bachelor's degree in quantitative field

MA/MS in quantitative field

PhD in quantitative field

Job description

U.S. Bank is seeking a senior quantitative professional to develop, enhance, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

You will work with trading desks, risk managers, and technology partners to measure PFE, EE, and other CCR metrics using Monte Carlo simulations. The role requires deep expertise in derivative pricing, stochastic processes, and risk modeling, with strong Python/C++ programming skills and the ability to communicate