U.S. Bank VP Senior Quantitative Analyst - Multiple Locations in Minneapolis, Minnesota
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Job DescriptionWe are looking for a senior quant with experience in developing energy derivatives models. The individual will have strong quantitative as well as programming skills for developing counterparty Potential Future Exposure (PFE) model for energy derivatives trading. He/she will work collaboratively with counterparty risk managers in identifying and testing model assumptions. The modeling is based on Monte Carlo simulations and valuations of derivatives, and so the ideal candidate will be a subject matter expert in both derivative pricing and Monte Carlo simulations. Underlying assets include futures and options for crude oil, natural gas and heating oil. The models are used for estimating the counterparty exposures (PFE/EE) in support of the Counterparty Credit Risk Management.
The main job responsibilities include, but will not be limited to: Research, develop, test, support and document the methodologies of the simulation and pricing models for derivative trading. Having experience and knowledge in energy derivative model development or energy derivative trading is a plus.
Support and ongoing monitor the simulation and the pricing models; Conduct back-testing on risk factors, trades and portfolios.
Fluency with at least one programming language such as C++ or Python with minimum three-year experience.
Strong problem-solving abilities, excellent analytical skills, solid writing and oral presentation skills
Knowledge of financial products, financial markets and risk drivers especially those within OTC/listed derivatives and security financing transactions
Work with partners in derivative trading desk, risk management function and Technology to ensure requirements are delivered to support the model
Work with the internal reviewers (Model Validation and Internal Audit) and external reviewers (Regulators - OCC and FRB) for the approval of the models
Basic Qualifications - Bachelor's degree in a quantitative field, and 10 or more years of experience in statistical modeling - OR - - Master's or PhD degree in a quantitative field, and six or more years of experience in statistical modeling
Benefits: Take care of yourself and your family with U.S. Bank employee benefits. We know that healthy employees are happy employees, and we believe that work/life balance should be easy to achieve. That's why we share the cost of benefits and offer a variety of programs, resources and support you need to bring your full self to work and stay present and committed to the people who matter most - your family.
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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.