U.S. Bank Market Risk Model Validation Analyst - Quantitative - Multiple Locations in Cedar Rapids, Iowa
The model validation analyst validates, tests, documents and oversees the usage of complex statistical models related to capital markets, market risk and mortgage exposures at the bank. The models include VaR, derivatives pricing, XVA, counterparty credit risk, market risk and mortgage models (e.g., prepayment, default, current coupon). The successful candidate will have a deep understanding of valuation methods, capital markets operations, and market risk measurement approaches. Analyst will be responsible for documenting and testing complex statistical models and effectively communicating the results to stakeholders within the Bank. Deliverables include the creation of model validation documentation and work products such as: presentations, written reports, various forms of model code review, business requirements, monitoring reports, and procedures.
Bachelor's degree in a quantitative field, and five to eight years of experience in statistical modeling OR
Master's or PhD degree in a quantitative field, and less than five years of experience in statistical modeling
Advanced understanding of applicable laws, regulations (OCC 2011-12 / SR11-7, Market Risk Rule, FRTB), financial services, and regulatory trends that affect capital markets.
Advanced understanding of vanilla and exotic option pricing methodologies, as well as the greeks.
Strong statistical modeling background based on technical training or advanced education in a quantitative field
Advanced knowledge of regression techniques, stochastic differential equations, times series methods, optimization and other statistical models. Must be able to design tests for validation hypotheses, using R, Matlab, Python or similar statistical software.
Strong data compilation, programming and qualitative analysis skills
Background with QRM, Calypso, Polypaths, RiskMetrics, Yieldbook or other trading related platforms
Demonstrated independence, team work and leadership skills
Strong project management skills
Excellent written and verbal communication ability
Relevant industry certifications are helpful (CFA, FRM) and/or trading licenses (series 7, 65/66, etc.), but not required
Primary Location: North Carolina-NC-Charlotte
Shift: 1st - Daytime
Average Hours Per Week: 40
Requisition ID: 190012960
Other Locations: United States
U.S. Bank is an Equal Opportunity Employer committed to creating a diverse workforce.
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.