U.S. Bank Quantitative Analyst - Mortgage Risk Mgmt in CHARLOTTE, North Carolina
The Quantitative Analyst is responsible for all aspects of market risk analytics related to US Bank’s MSR/Pipeline hedging activities. These responsibilities include, supporting daily operations and back up of the Senior Market Risk Manager on quantitative functions as outlined below.
Risk Management Support
• Review and understand model output and source of changes in risk levels reported in daily MSR/Pipeline VaR and related reports. Point out and discuss key risk details with the Senior Market Risk Manager.
• Support testing for periodic changes in the MSR valuation model.
• Build quantitative tools as needed to provide effective analysis of the market risk. Run “what-if” scenarios to evaluate risk.
• Support model validations, respond to and implement recommendations. Perform Model Monitoring program for VaR models.
• Back up Senior Market Risk Manager in monitoring intraday risk for the MSR hedging book.
• Review market data that feeds the VaR/risk models.
• Ensure accurate trade capture.
• Prepare risk slides to inclusion in the Mortgage Risk Oversight Committee materials.
• Prepare audit documentation.
• Update Market Risk procedures documentation.
Bachelor's degree, or equivalent work experience (BS in Math, Finance, Economics or Quantitative Finance)
Ten or more years of experience in an applicable risk management environment (2-5 years mortgage industry experience)
Capacity to understand valuation of instruments used in MSR/Pipeline hedging activities; programming experience, knowledge of Excel VBA and C# a plus
Expert knowledge of applicable laws, regulations, financial services, and regulatory trends that impact their assigned line of business
Expert knowledge of the business line’s operations, products/services, systems, and associated risks/controls
Advanced knowledge of Risk/Compliance/Audit competencies
Strong leadership and management skills of processes, projects and people
Excellent written and verbal communication skills
Strong analytical, problem-solving and negotiation skills
Proficient computer skills, especially Microsoft Office applications
Primary Location: North Carolina-NC-Charlotte
Shift: 1st - Daytime
Average Hours Per Week: 40
Requisition ID: 180038037
Other Locations: Minnesota-MN-Minneapolis
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.