XVA Quantitative Model Analyst

 

At U.S. Bank, we're passionate about helping customers and the communities where we live and work. The fifth-largest bank in the United States, we’re one of the country's most respected, innovative and successful financial institutions. U.S. Bank is an equal opportunity employer committed to creating a diverse workforce. We consider all qualified applicants without regard to race, religion, color, sex, national origin, age, sexual orientation, gender identity, disability or veteran status, among other factors.

 
Primary responsibility is support of XVA pricing and hedging operations with specific focus on the complex quantitative methods employed in the valuation and associated risk mitigation. Candidate will play a key role in exposure model selection, illiquid credit proxy methodology, wrong way risk identification, and optimal hedge analysis to support the desk. Critically, the incumbent will be responsible for the proper implementation and maintenance of all selected valuation models within an object oriented programming environment. This will be a key role both in terms of thought leadership and technical expertise.
 
The incumbent will support all associated oversight requests from audit, model validation, and regulatory agencies. Additionally, the candidates quantitative skills may be leveraged as needed for other pricing and analysis needs.
 

Qualifications

  Basic Qualifications
- Bachelor's degree in a quantitative field (financial engineering, mathematics, statistics, computer science or applied economics), and four to six years of experience in statistical modeling OR
- Master's degree in a quantitative field (financial engineering, mathematics, statistics, computer science or applied economics), and less than four years of experience in statistical modeling

Preferred Skills/Experience
- Knowledge and experience with option pricing methodology, derivatives valuation
- Experience coding in C++, C#, .Net, java or with a scientific computing language such as Matlab, R, etc.
- Knowledge of optimal hedge algorithms (PCA, etc…)
- Thorough understanding of credit derivatives and associated credit modeling
- Proven success writing code within visual studio or a comparable
- Strong data mining skills (i.e. SQL, Oracle, xml data, etc…)
- Experience utilizing server based calculation solutions
- Excellent written and verbal communication skills
- Understanding of dependency structure modeling (i.e. copulas, etc.)
- Experience measuring VaR on derivative portfolios
- Familiarity with pricing multiple asset classes individually and within hybrid models (i.e. fixed income, foreign exchange, equity, etc.)
 

Job

Accounting / Finance

Primary Location

Minnesota-MN-Minneapolis

Shift

1st - Daytime

Average Hours Per Week

40