Senior Quantitative Derivatives & Risk Modeler

U.S. Bank; Minneapolis (MN); Ibrido; USD 127.000 - 149.000; Tempo pieno

Vantaggi offerti da questo lavoro

Healthcare

Life insurance

Disability

Parental leave

401(k)

Vacation

Holidays

Adoption assistance

Sick leave

Descrizione del lavoro

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

You will work with trading, risk, technology, model validation, internal audit, and regulatory stakeholders to deliver robust analytics. The role emphasizes Monte Carlo pricing, PFE/EE metrics, model validation, and clear technical documentation for senior management.

Competenze

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

Mansioni

• Research, design, develop, test, and maintain counterparty exposure models.
• Develop and enhance methodologies for PFE, EE, and CCR risk metrics.
• Support pricing models and risk-factor simulation frameworks.
• Develop exposure methodologies for Prime Brokerage and Equity Finance.
• Perform model monitoring, backtesting, and sensitivity analyses.
• Collaborate with trading, risk, tech, and governance bodies.

Conoscenze

Python

C++

Quantitative modeling

Monte Carlo

Derivatives analytics

Formazione

Bachelor's degree in a quantitative field

MA/MS in a quantitative field

PhD in a quantitative field

Descrizione del lavoro

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

You will work with trading, risk, technology, model validation, internal audit, and regulatory stakeholders to deliver robust analytics. The role emphasizes Monte Carlo pricing, PFE/EE metrics, model validation, and clear technical documentation for senior management.