Wells Fargo

Job Category:

Quantitative Modeling

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 2 - Market Risk Model Validation

Wells Fargo - Charlotte, North Carolina

Posted: 11/17/2018

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 Corporate Model Risk Group (CMoR) is seeking an experienced analyst to join its model validation team. Our diverse lines of business offer a world of opportunity to expand your capabilities and advance your career. We invest in our people and provide a supportive environment in which to learn and grow.

CMoR is responsible for independently overseeing the management of model risk exposures and the quality of model risk management practices across the company. Market risk models are used to measure the risk of possible economic loss from adverse changes in market risk factors such as interest rates, credit spreads, foreign exchange rates, and equity and commodity prices, as well as mortgage rates and market liquidity dynamics. Market risk includes, but is not limited to, the risk of economic loss associated with price risk in the trading book, fair-value price risk of available-for-sale (AFS) securities and held-for-sale (HFS) assets, hedge-effectiveness risk associated with the mortgage book, and impairment on private equity investments.

This highly visible position will provide interaction with various key model stakeholders and therefore requires someone with the ability to develop and maintain strong strategic partnerships. The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important. The team operates in a fast paced environment and the ability to multi-task and meet strict timelines is critical.

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

  • Performing model validations and clearly documenting evidence of validation activities
  • Providing effective challenge to models developed in the lines of business
  • Reducing model risk to meet or exceed regulatory and industry standards
  • Identifying conceptual weaknesses in a model and understanding tradeoffs with other approaches
  • Communicating model issues and limitations to key stakeholders
  • Contributing to improvement of model building and use practices
  • Providing leadership and consultation to less experienced validators
  • Providing analytical support and offering insights regarding a wide array of business initiatives
  • Interacting with senior management and regulators on key modeling issues, including the identification, management and mitigation of model risk
  • Strong mathematical, analytical and computational skills
  • Ability to communicate to different audiences (other technical staff, senior management and regulators) both verbally and in writing
  • Skill in managing relationships with key model stakeholders

*Location: Charlotte, NC is highly preferred*

Required Qualifications

  • 4+ 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

  • A PhD in a quantitative discipline
  • Good verbal, written, and interpersonal communication skills
  • Knowledge and understanding of stochastic processes and numerical methods
Other Desired Qualifications
  • Strong Experience with model development or validation of derivatives pricing models. Specifically experience in one or more of the following derivative pricing areas:
  • Pricing and risk analytics for credit products including credit derivatives, credit callable bonds, contingent convertible bonds;
  • Interest rate models and rates derivative pricing;
  • Counterparty credit risk related Models;
  • Structure Products including RMBS, CMBS and ABS; Prepayment model of RMBS;
  • Strong programming skills in one or more of the following: C++, Matlab, Python, R and SAS
  • Experience with numerical methods such as Monte Carlo, PDE, optimization and regression etc.
  • Work experience as Front Office quant or model validator
  • Experience with model development and testing methodology
  • Ability to document critical information and share results with a variety of audiences, both technical and non-technical
  • Understanding of model usage for Value-at-Risk and CCAR/Stress test
  • Understanding of the regulatory environment and it’s relation to model development and model validation.
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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