Wells Fargo


Charlotte, North Carolina


United States

Postal Code:


Approximate Salary:

Not Specified

Position Type:

Full Time


415) 820-7800

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Quantitative Analytics Cons 3 - MBS Modeler

Wells Fargo - Charlotte, North Carolina

Posted: 10/2/2018

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.

The Mortgage Market Risk Analytics Group within Market Risk Analytics is responsible for quantitative support of the risk management of structured products, more specifically, of securitized and non-securitized mortgage products held by Wells Fargo Home Lending (WFHL) and Wells Fargo Securities (WFS). We are seeking a Quantitative Analytics Cons to fill the role of Mortgage Backed Securities Modeler for the Mortgage Market Risk Analytics team. This position will cover development, testing, and support enhancements to the WFHL’s VaR model covering Mortgage Servicing Rights (MSRs) as well as the hedge portfolio, consisting of TBAs, CMM contracts, Swaps, TBA options and other hedging instruments. This new team member will also participate in risk modeling projects on the WFS side that are related to WFS MBS, ABS, CMBS and structured products derivatives portfolios.

Responsibilities for this role will include, but not be limited to, the following:

  • Work with Market Risk Oversight groups and business lines to design, prototype, and implement enhancements to existing risk models
  • Design new risk models for relevant portfolios, using C++, Matlab, SAS or R
  • Implementation of model prototypes in Python, R, Excel etc.
  • Writing technical specifications and coordinating with IT on implementation of models
  • Provide analytical support for the models in production as well as working with Corporate Model Validation (CMoR) and federal regulatory agencies to obtain approval for use of the models

Required Qualifications

  • 6+ years of experience in an advanced scientific or mathematical field
  • A master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science
Desired Qualifications

  • Excellent verbal, written, and interpersonal communication skills
  • Strong organizational, multi-tasking, and prioritizing skills
  • Knowledge and understanding of stochastic calculus, stochastic processes, and derivatives valuation
Other Desired Qualifications
  • Experience with stakeholders (e.g. risk officers, sales, marketing, traders) who utilize market risk measures and limits for business approval.
  • Experience in risk management and trading system architecture used for Interest Rate, Credit and Structured Products.
  • Experience in computational methodologies, including finite difference or finite element methods, Monte Carlo simulations and understanding of underlying numerical and/or computational issues.
  • Strong programming skills, including C/C++, Python and Excel/VBA/COM. Statistical programming in SAS and/or R/S+.
  • Ability to present and influence various levels of individuals, across various groups, within the organization.
  • PhD in a quantitative discipline e.g. Mathematics/Statistics/Physics/Engineering/Econometrics.
  • Expertise in mortgage backed securities and related products. Experience with other structured products, such as CMBS and ABS is desirable.
  • Understanding of mortgage origination and securitization process.
  • 5+ years in Risk Management preferred with experience in Market Risk a plus.

  • 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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