Senior Quantitative Modeler - Derivatives & CCR Risk

U.S. Bank; New York (NY); On-site; USD 127,000 - 149,000; Full time

Benefits offered by this job

Healthcare and benefits

401(k) plan

Paid vacation and holidays

Employee stock and pension programs

Job summary

U.S. Bank seeks an experienced quantitative researcher to develop counterparty exposure models for derivatives, prime brokerage, and securities financing. The candidate will apply pricing, stochastic methods, and risk analytics to support trading, risk management, and regulatory compliance.

Collaborating with trading desks, risk managers, and technology partners, you will build robust modeling frameworks, document methodologies, and present results to senior audiences across the bank.

Qualifications

• Bachelor’s degree in a quantitative field with 10+ years of relevant experience.
• MA/MS in a quantitative field with 6+ years of related experience.
• PhD in a quantitative field with 5+ years of related experience.
• Strong programming skills in Python or C++, and knowledge of risk analytics.

Responsibilities

• Research, design, develop, test, and maintain counterparty exposure models for derivatives and related products.
• Develop methodologies for measuring PFE, EE, and CCR risk metrics.
• Support pricing models and risk factor simulation frameworks for Monte Carlo exposure calculations.
• Collaborate with trading desks, risk managers, and technology teams to implement quantitative solutions.
• Prepare clear technical documentation and present results to senior management and governance committees.

Skills

Python

C++

Quant modeling

Risk analytics

Communication skills

Education

Bachelor’s degree in a quantitative field

MA/MS in a quantitative field

PhD in a quantitative field

Tools

Monte Carlo simulation

Job description

U.S. Bank seeks an experienced quantitative researcher to develop counterparty exposure models for derivatives, prime brokerage, and securities financing. The candidate will apply pricing, stochastic methods, and risk analytics to support trading, risk management, and regulatory compliance.

Collaborating with trading desks, risk managers, and technology partners, you will build robust modeling frameworks, document methodologies, and present results to senior audiences across the bank.