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U.S. Bank Quantitative Analyst- Counterparty Risk in New York, New York

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.

Job Description

U.S. Bank is seeking a Quantitative Analyst to provide oversight over sourcing market and trade data and connecting to new proprietary model. The counterparty risk management function is responsible for the management and control of counterparty risk at US Bank. The group provides independent review of counterparty risk across the business, producing detailed analysis of the derivative portfolio for internal and external constituents and manage the control framework under which counterparty risk is governed.

The person will be responsible for the implementation of in-house counterparty risk model development and related quantitative market data methodologies (standardization, proxies, data cleaning, and operational process). This includes how to measure the quality of data for use in pricing models for Counterparty Models. Employ analytical and quantitative approaches to analyze and process data required for the new model.

Serves as an escalation point in interactions with stakeholders across Front Office and Quantitative Model teams including development of teams and technology on various market data-related topics: Daily market data quantitative analysis, Data quality remediation efforts (e.g., designing quantitative key performance indicators so as to measure quality of data, or, quantitative approaches to fill missing data, working with Front Office desks), Communicates market data quality issues to downstream users

Manages requests for new market data (e.g., participating in new product approval process, interacting with vendor procurement teams). Represents CRM Market Data Quantitative Analysis team in governance forums and senior leadership discussions. Ensures team adheres to firm-wide policies for data governance and controls. Coordinates with all external model vendors and internal quantitative partners around all key risk analytic topics. Works with model development and validation groups in ensuring the accuracy and reasonableness of the stress test and other model assumptions. Partners with them in ensuring on smooth maintenance of ongoing monitoring of models. Review all counterparty related model documentation and sign-off on key assumptions. Liaison with technology and other key groups regarding counterparty risk infrastructure and processes.

Basic Qualifications

  • Bachelor’s degree in quantitative field, and 10 or more years of experience in counterparty/market risk management OR

  • Master’s or PhD degree in quantitative field, and 8 or more years of experience in counterparty/market risk management

Preferred Skills/Experience

  • Experience in capital markets, industry experience within the specific sector of the position, or a combination of both

  • Master’s degree or higher in a quantitative field such as mathematics, engineering, physics, or statistics

  • Required strong Python & SQL

  • Experience financial modeling and strong understanding of stochastic processes

  • Experience building an efficient large scale and complex market data operations/end to end market data engineering processes in a sales and trading environment

  • Experience working with quant teams developing market data management systems which allow for efficient data retrieving to optimize modeling approaches

  • Experience leading large teams/multiple business partners, overseeing business as usual market data operations with strong governance processes and controls

  • Knowledge and understanding of traded derivative and cash products across all asset classes to effectively have discussions with Front Office traders, Market Risk Officers, and Risk Analytics team

  • Experience overseeing the development and implementation of quantitative methods for data quality checks and remediation techniques including statistical data filling methods and proxying

  • Understanding of how market data impacts the downstream uses

  • Counterparty credit risk and CVA

  • Understanding of major market data sources (e.g., Bloomberg, Reuters, Markit)

  • Market data object construction methods for curves and volatility surfaces

  • Risk factor types across asset classes

  • Market data related to regulatory requirements

  • Experience in quantitative or complex data management field

  • Experience working with large scale and complex data management systems

  • Proficient in Python and SQL (reading and writing queries)


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.

Learn all about U.S. Bank employee benefits, including tuition reimbursement, retirement plans and more, by visiting usbank.com/careers (https://www.usbank.com/careers/index.html) .

EEO is the Law

Applicants can learn more about the company’s status as an equal opportunity employer by viewing the federal EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) poster.


U.S. Bank participates in the U.S. Department of Homeland Security E-Verify program in all facilities located in the United States and certain U.S. territories. The E-Verify program is an Internet-based employment eligibility verification system operated by the U.S. Citizenship and Immigration Services. Learn more about the E-Verify program (https://www.usbank.com/careers/verification-of-eligibility-for-employment.html) .

Our 74,000 employees work across departments to help our millions of retail, business, wealth management, payment, commercial and corporate, and investment services customers across the country and around the world turn their dreams into reality. Our employees are empowered to create change and drive our future, and we pride ourselves on diligently and ethically upholding U.S. Bank’s best-in-class financial record and legacy of more than 150 years in banking. Most importantly, we put people first, cultivating and treasuring meaningful relationships with the customers we serve, the colleagues we support and the communities where we live and work.