Wells Fargo

Job Category:

Risk/Compliance

Location:

San Francisco, California

Country:

US

Approximate Salary:

Not Specified

Position Type:

Full Time

Phone:

415) 820-7800

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Market Risk Mgr 3 - Head of Balance Sheet Analytics

Wells Fargo - San Francisco, California

Posted: 11/9/2018

Job Description

At Wells Fargo, we want to satisfy our customers’ financial needs and help them succeed financially. We’re looking for talented people who will put our customers at the center of everything we do. Join our diverse and inclusive team where you’ll feel valued and inspired to contribute your unique skills and experience.

Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.

Corporate Risk helps all Wells Fargo businesses identify and manage risk. We focus on three key risk areas: credit risk, operational risk and market risk. We help our management and Board of Directors identify and monitor risks that may affect multiple lines of business, and take appropriate action when business activities exceed the risk tolerance of the company.

This position is responsible for leading the Balance Sheet (BS) Analytics team reporting to the Head of Asset Liability Management (ALM) Analytics within the ALM Risk Group. ALM Risk is a unit of the Company’s Market and Counterparty Risk Management Group under the direction of WFC’s Chief Risk Officer.

Mismatches between the Company’s asset and liability cash flows present risk to WFC’s earnings and capital. Mismatches may be planned given the Company’s view on future business or markets. Risk occurs when business or market activity differs from the Company’s plan. Primary market risk factors include interest rates, spreads, and FX. Most of the Company’s lines of business contribute to ALM risk, the largest being lending, investing, or deposit taking activities. The Company engages in balance sheet hedging to mitigate risk. The primary sources of ALM risk include:

  • Interest Rate Risk - Risks arising from changes in the level or term structure of relatively risk free investments. Interest rate basis risk arises from a shift in the relationship between interest rates from different financial markets or countries, the latter case introducing FX risk.
  • Credit Spread Risk - Risk associated with changes in the credit spread the Company earns on assets versus pays for funding.
  • Option Risk - Risks arising when a Wells Fargo counterpart has the right to alter the level and timing of the cash flows of an asset, liability, or off-balance sheet instrument. Examples include mortgage prepayment or deposit attrition. Option risk is a function of interest rates, credit spreads and financially-non-optimal behavior.
  • Balance Sheet Management Risk - On a quarterly basis Treasury forecasts a balance sheet plan for new and existing balances and pricing. Forecasting assumptions impact Balance sheet management activities such as risk hedging, discretionary investment, and funding plans. The Company is exposed to the risk that realized business execution may differ from the plan.

The Head of Balance Sheet Analytics works closely with senior leaders in Treasury and ALM Risk to analyze one of the Company’s most critical risks. The team uses one of the Company’s most complex and highly risk-rated modeling frameworks to perform analysis. Particular areas include option risk, spread risk, mix risk and ALM model assumption tracking. The Head of Balance Sheet Analytics will be experienced with financial engineering, balancing practicality with theory, and able to communicate complex ideas to the Company’s most senior officers, committee or board members. This leader will have responsibilities that include:

  • Representing the Company in regular discussions with regulators
  • Promote common ALM Risk model practice and governance.
  • Lead a team of 3 subject matter experts and include building and fostering a team that is adequately staffed with the right talent to accomplish the team’s goals.
  • Provide guidance, support and an appropriate level of training & development.

Required Qualifications

  • 10+ years of capital markets and securities industry experience
  • 5+ years of leadership experience
Desired Qualifications

  • Excellent verbal, written, and interpersonal communication skills
  • Strong organizational, multi-tasking, and prioritizing skills
Other Desired Qualifications
  • 8+ years of experience in one or combination of the following: ALM risk management, trading desk analyst, and capital markets
  • Advanced Degree in Math, Science, Engineering or similar analytic major
  • Expert modeling knowledge and experience in QRM, Polypaths or similar industry ALM system
  • Strong hands-on experience of the full model development cycle (design, implementation, testing, validation and implementation)
  • Well-grounded in model governance practice
  • Hands-on experience of behavior models, particular mortgage prepayment and deposit attrition
  • It is critical that the candidate have the personality to develop well balanced relationships with senior colleagues in Treasury and Independent Risk
  • Strong knowledge and experience with banking book products, e.g., investment portfolio, consumer/commercial loans, deposits and derivative balance sheet hedges.
  • Expert knowledge of SQL database and strong understanding of data structure of QRM modeling results.
  • Experience with the CCAR stress testing process at a large financial institution
  • Dedicated, highly motivated team player with ability to thrive in a demanding environment
Disclaimer

  • All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.

    Relevant military experience is considered for veterans and transitioning service men and women.
    Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.

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