Wells Fargo

Location:

Charlotte, North Carolina

Country:

US

Approximate Salary:

Not Specified

Position Type:

Full Time

Phone:

415) 820-7800

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Quantitative Analytics Consultant 1

Wells Fargo - Charlotte, North Carolina

Posted: 11/28/2018

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 Counterparty Credit Risk Analytics (CCRA) team within the Market and Credit Risk Management (MCRM) group is responsible for all counterparty credit analytics for the firm.

The Quantitative Analytics Consultant 1 on this team will be responsible for:

  • Developing, testing, and supporting models for Potential Future Exposure (PFE), Expected Exposure (EE), and central clearing counterparties (CCPs) exposures.
  • Working collaboratively with Front Office model developers on CVA development, testing, and on-going monitoring.
  • Working with cross-functional teams on counterparty credit capital initiatives.
  • Supporting regulatory risk analysis.

Most of the modeling is based on Monte Carlo simulations and full re-valuations of derivatives. Underlying assets include commodities, equities, foreign exchange, interest rates, credit derivatives, and structured products. The models are used for counterparty limit setting in risk management and regulatory capital calculation.

Quantitative Analytics Consultant 1 main job responsibilities include:

  • Research, develop, test, support, and document the simulations and their calibrations methodologies.
  • Research, develop, test, support, and document the pricing models in broad assets.
  • Perform model monitoring of simulation and pricing models, investigate performance issues identified through testing or from users.
  • Document all work consistently with Wells Fargo model risk and governance requirements.
  • Prepare and document processes and desktop procedures consistent with governance and oversight requirements.

This Consultant will partner in a team environment, managing relationships with business partners in Wells Fargo’s Enterprise Counterparty Risk Management group, Corp. Model Risk, Enterprise Counterparty Risk Technology, Front Office trading, as well as other business partners as needed.

Required Qualifications

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

  • A PhD in a quantitative discipline
  • Excellent verbal, written, and interpersonal communication skills
  • Knowledge and understanding of stochastic calculus, stochastic processes, and derivatives valuation
Other Desired Qualifications
  • Subject matter expert in derivative pricing as well as Monte Carlo development
  • Experience in counterparty credit risk models
  • Successful track record of accomplishing complex projects and partnering in a team environment
  • 2+ years experience in Risk Management or Quantitative Modeling
  • Strong programming skills: C/C++/Java/Python, Matlab, Excel/VBA, SQL
  • Quantitative experience with counterparty risk measures (e.g. PFE, MPE, and EE)
  • Hands-on experience implementing computational methodologies, including Monte Carlo simulations and other analytical and numerical methods, as well as a good understanding of underlying numerical and/or computational issues
  • Experience in trading or market risk measurement
  • Experience in model risk management
  • Significant expertise in quantitative risk methodologies
  • Expertise in derivative products, their risk and valuation methodologies
  • Experience with stakeholders (e.g. risk officers, sales, marketing, and traders) who utilize counterparty risk measures and limits for business approval
  • Experience in risk management and trading system architecture in Commodity, FX, Interest Rate, Equity, and Credit
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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