Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling

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

At U.S. Bank, we’re on a journey to do our best. Helping the customers and businesses we serve to make better and smarter financial decisions and enabling the communities we support to grow and succeed. We believe it takes all of us to bring our shared ambition to life, and each person is unique in their potential. A career with U.S. Bank gives you a wide, ever-growing range of opportunities to discover what makes you thrive at every stage of your career. Try new things, learn new skills and discover what you excel at—all from Day One.

Job Description

The successful candidate will leverage advanced quantitative methods, strong programming skills, and deep derivatives expertise to develop, enhance, and maintain counterparty exposure models used to support the Bank's trading, prime brokerage, and securities financing businesses. This role requires close collaboration with trading desks, risk management, technology partners, model validation, internal audit, and regulatory stakeholders. The ideal candidate will possess strong expertise in derivative pricing, stochastic simulation, and counterparty exposure modeling, with the ability to apply quantitative techniques to a broad range of products and portfolios. The modeling framework is primarily based on Monte Carlo simulation and derivative valuation methodologies and supports the measurement of key counterparty credit risk metrics such as Potential Future Exposure (PFE) and Expected Exposure (EE).

Scope of Coverage

The team's models support a broad range of products and businesses, including: Interest Rate Derivatives Foreign Exchange Derivatives Equity Derivatives Commodity Derivatives Prime Brokerage and Equity Finance Products Securities Financing Transactions These models are used to estimate and manage counterparty credit exposure in support of the Bank's Counterparty Credit Risk Management framework, regulatory requirements, and business growth initiatives.

Key Responsibilities

• Research, design, develop, test, and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing transactions.
• Develop and enhance methodologies for measuring Potential Future Exposure (PFE), Expected Exposure (EE), and other CCR risk metrics.
• Support the development and maintenance of 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.
• Perform model monitoring, benchmarking, backtesting, sensitivity analysis, and performance assessments at the risk factor, trade, and portfolio levels.
• Partner closely with trading desks, risk managers, technology teams, and business stakeholders to ensure quantitative solutions effectively meet business, risk, and regulatory requirements.
• Collaborate with Model Risk Management, Internal Audit, and regulatory agencies to support model reviews, validation activities, and regulatory examinations.
• Prepare clear and comprehensive technical documentation covering model methodology, assumptions, limitations, implementation requirements and performance monitoring results.
• Present quantitative methodologies, model performance results, and risk analytics to technical and non-technical audiences, including senior management and governance committees.
• Contribute to the ongoing enhancement of the Bank's counterparty credit risk modeling framework, analytics infrastructure, and quantitative capabilities.

Basic Qualifications

Basic Qualifications - Bachelor’s degree in a quantitative field, and 10 or more years of relevant experience OR - MA/MS in a quantitative field, and six or more years of related experience OR - PhD in a quantitative field, and five or more years of related experience

Preferred Skills/Experience

Master or Ph.D degree in a quantitative or related field (e.g., economics, finance, mathematics, statistics, engineering, computer science) or equivalent practical experience. Five or more years of experience in quantitative modeling, quantitative research, derivatives analytics, risk management, or a related field. Strong programming skills in Python, C++, or similar languages, including experience developing quantitative models and analytical libraries. Deep understanding of financial markets, derivative products, Prime Brokerage activities, and Securities Financing Transactions, including the key drivers of counterparty credit exposure. Demonstrated expertise in derivative pricing, stochastic processes, Monte Carlo simulation techniques, and quantitative risk modeling. Strong analytical and problem-solving abilities with exceptional attention to detail. Excellent written and verbal communication skills, including the ability to explain complex quantitative concepts to technical and non-technical stakeholders.

LOCATION EXPECTATIONS

This role requires working from a U.S. Bank Location three (3) or more days per week. If there’s anything we can do to accommodate a disability during any portion of the application or hiring process, please refer to our disability accommodations for applicants.

Benefits

• Healthcare (medical, dental, vision)
• Basic term and optional term life insurance
• Short-term and long-term disability
• Pregnancy disability and parental leave
• 401(k) and employer-funded retirement plan
• Paid vacation (from two to five weeks depending on salary grade and tenure)
• Up to 11 paid holiday opportunities
• Adoption assistance
• Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law

Review our full benefits available by employment status here.

U.S. Bank is an equal opportunity employer. We consider all qualified applicants without regard to race, religion, color, sex, national origin, age, sexual orientation, gender identity, disability or veteran status, and other factors protected under applicable law.

E-Verify

U.S. Bank participates in the U.S. Department of Homeland Security E-Verify program in all facilities located in the United States and certain U.S. territories. The E-Verify program is an Internet-based employment eligibility verification system operated by the U.S. Citizenship and Immigration Services. Learn more about the E-Verify program.

Pay Range: $126,820.00 - $149,200.00

U.S. Bank will consider qualified applicants with arrest or conviction records for employment. U.S. Bank conducts background checks consistent with applicable local laws, including the Los Angeles County Fair Chance Ordinance and the California Fair Chance Act as well as the San Francisco Fair Chance Ordinance. U.S. Bank is subject to, and conducts background checks consistent with the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA). In addition, certain positions may also be subject to the requirements of FINRA, NMLS registration, Reg Z, Reg G, OFAC, the NFA, the FCPA, the Bank Secrecy Act, the SAFE Act, and/or federal guidelines applicable to an agreement, such as those related to ethics, safety, or operational procedures.

Applicants must be able to comply with U.S. Bank policies and procedures including the Code of Ethics and Business Conduct and related workplace conduct and safety policies. Posting may be closed earlier due to high volume of applicants.

At U.S. Bank, we’re on a journey to do our best. Helping the customers and businesses we serve to make better and smarter financial decisions and enabling the communities we support to grow and succeed. We believe it takes all of us to bring our shared ambition to life, and each person is unique in their potential. A career with U.S. Bank gives you a wide, ever-growing range of opportunities to discover what makes you thrive at every stage of your career. Try new things, learn new skills and discover what you excel at—all from Day One.