Senior Quantitative CCR Modeler - Derivatives & Exposure

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

Benefits offered by this job

Healthcare (medical, dental, vision)

401(k) and retirement plan

Paid vacation

Job summary

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

The role focuses on Monte Carlo simulations, PFE/EE metrics, and pricing model validation within a collaborative, risk-conscious environment. The successful candidate will work with trading desks, risk management, and regulatory stakeholders, delivering rigorous quantitative solutions and clear documentation for

Qualifications

• Bachelor’s degree in a quantitative field with 10+ years of related experience OR MA/MS with 6+ years OR PhD with 5+ years.
• Strong derivative pricing, stochastic processes, and Monte Carlo risk modeling experience.
• Proficiency in Python and C++, with ability to develop quantitative models and analytics libraries.

Responsibilities

• Research, design, develop, test, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.
• Develop and enhance methodologies for measuring PFE and EE and other CCR risk metrics.
• Collaborate with trading desks, risk managers, and regulatory teams to ensure models meet business and regulatory requirements.
• Prepare technical documentation and present methodologies and results to senior management.

Skills

Python

C++

Derivative pricing

Monte Carlo

Risk modeling

Education

Bachelor's degree (quantitative)

MA/MS in quantitative field

PhD in quantitative field

Job description

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

The role focuses on Monte Carlo simulations, PFE/EE metrics, and pricing model validation within a collaborative, risk-conscious environment. The successful candidate will work with trading desks, risk management, and regulatory stakeholders, delivering rigorous quantitative solutions and clear documentation for