Front Office Lead XVA / PFE Quantitative Analytics Specialist

Wells Fargo & Company - Institutional Retirement & Trust business

Charlotte, NC

Full Time

Senior

144k-300k

18 days ago

Job Description

About the Role

Wells Fargo is seeking a CIB Quantitative Strategist - Vice President (Lead Securities Quantitative Analytics Specialist) in Corporate & Investment Banking. The individual will help drive objectives in counterparty risk modeling, implementing the PFE and XVA combined modeling strategy, supporting platform changes in front office and risk related to counterparty risk models, such as FRTB standard approach for CVA. The role involves collaboration with front office trading, risk oversight, technology, and model governance functions, ensuring requirements are met and governance is adhered to. The position emphasizes high-quality communication skills to socialize approaches and highlight progress and issues.

Key Responsibilities

Lead the design, implementation, and delivery of a unified and shared modeling platform for both PFE and XVA
Develop and lead the design, implementation, and delivery of practical pricing and risk management solutions in XVA
Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors
Primary Quant faceoff for PFE/XVA combined modeling strategy
Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
Lead modeling development on shared C++ library platform
Make decisions on complex and multi-faceted situations and partner with technology to drive platform design across quant model, data, and calculation framework
Engage with front office and risk stakeholders for understanding requirements and ensuring implementation successfully meets those requirements, while playing an integral role to the trading floor

Requirements

5+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through work experience, training, military experience, or education

Nice to Have

4+ years of quantitative development experience
4+ years PFE and XVA modeling and model implementation
4+ years of front office derivatives Quant model experience
Strong experience in derivatives modeling and implementation, such as Rates, FX, Equity, and Commodities
Experience working with Sales and Trading partners
Solid knowledge of financial mathematics, particularly stochastic calculus, Monte-Carlo, and other numerical methods
Strong hands-on programming skills in C++ and Python, and proficient in model implementation
Experience with model documentation and model validation
Demonstrated experience in successfully collaborating with others in a change driven environment
Ph.D. degree in a quantitative discipline

Qualifications

Ph.D. degree in a quantitative discipline

Benefits & Perks

Health benefits
401(k) Plan
Paid time off
Disability benefits
Life insurance, critical illness insurance, and accident insurance
Parental leave
Critical caregiving leave
Discounts and savings
Commuter benefits
Tuition reimbursement
Scholarships for dependent children
Adoption reimbursement

Working at Wells Fargo & Company - Institutional Retirement & Trust business

Wells Fargo supports a culture that values building strong customer relationships balanced with a strong risk mitigating and compliance-driven environment. Employees are accountable for executing risk programs, adhering to policies and procedures, and making sound risk decisions. The company emphasizes proactive monitoring, governance, risk identification, escalation, and making decisions aligned with the risk appetite.

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