Senior Quantitative Risk 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 employer-funded retirement

Paid vacation (2–5 weeks depending on/

Sick and Safe Leave

Adoption assistance

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.

You will collaborate with trading desks, risk management, and technology partners to design robust pricing and risk measurement frameworks, using Monte Carlo simulation and advanced stochastic methods.

Strong communication skills to present results to senior management.

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.

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 meet business, risk, and regulatory requirements.
• Collaborate with Model Risk Management, Internal Audit, and regulatory agencies to support model reviews and regulatory examinations.
• Prepare clear and comprehensive technical documentation covering model methodology and performance monitoring results.
• Present quantitative methodologies and risk analytics to technical and non-technical audiences, including senior management and governance committees.
• Contribute to ongoing enhancements of the Bank's counterparty credit risk modeling framework and analytics infrastructure.

Skills

Python

C++

Quantitative modeling

Monte Carlo

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 highly experienced quantitative professional to develop and maintain counterparty exposure models for derivatives, prime brokerage, and securities financing.

You will collaborate with trading desks, risk management, and technology partners to design robust pricing and risk measurement frameworks, using Monte Carlo simulation and advanced stochastic methods.

Strong communication skills to present results to senior management.