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.

Data Integrity:

• Review market data that feeds the VaR/risk models.

• Ensure accurate trade capture.

Internal Reporting:

• Prepare risk slides to inclusion in the Mortgage Risk Oversight Committee materials.

• Prepare audit documentation.

• Update Market Risk procedures documentation.


Basic Qualifications

  • 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)

  • Applicable certifications

Preferred Skills/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

Job: Risk/Compliance/QC/Audit/Fraud

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.