U.S. Bank XVA Quantitative Model Analyst in MINNEAPOLIS, Minnesota
Primary responsibility is support of XVA pricing and hedging operations with specific focus on the complex quantitative methods employed in the valuation and associated risk mitigation. Candidate will play a key role in exposure model selection, illiquid credit proxy methodology, wrong way risk identification, and optimal hedge analysis to support the desk. Critically, the incumbent will be responsible for the proper implementation and maintenance of all selected valuation models within an object oriented programming environment. This will be a key role both in terms of thought leadership and technical expertise.
The incumbent will support all associated oversight requests from audit, model validation, and regulatory agencies. Additionally, the candidates quantitative skills may be leveraged as needed for other pricing and analysis needs.
Bachelor's degree in a quantitative field (financial engineering, mathematics, statistics, computer science or applied economics), and four to six years of experience in statistical modeling OR
Master's degree in a quantitative field (financial engineering, mathematics, statistics, computer science or applied economics), and less than four years of experience in statistical modeling
Knowledge and experience with option pricing methodology, derivatives valuation
Experience coding in C , C#, .Net, java or with a scientific computing language such as Matlab, R, etc.
Knowledge of optimal hedge algorithms (PCA, etc…)
Thorough understanding of credit derivatives and associated credit modeling
Proven success writing code within visual studio or a comparable
Strong data mining skills (i.e. SQL, Oracle, xml data, etc…)
Experience utilizing server based calculation solutions
Excellent written and verbal communication skills
Understanding of dependency structure modeling (i.e. copulas, etc.)
Experience measuring VaR on derivative portfolios
Familiarity with pricing multiple asset classes individually and within hybrid models (i.e. fixed income, foreign exchange, equity, etc.)
Job: Accounting / Finance
Primary Location: Minnesota-MN-Minneapolis
Shift: 1st - Daytime
Average Hours Per Week: 40
Requisition ID: 180013882
U.S. Bank is an Equal Opportunity Employer committed to creating a diverse workforce.
Equal Opportunity Employer Minorities/Women/Protected Veterans/Disabled