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Front Office XVA Quant Model Developer - Vice President
Front Office XVA Quant Model Developer - Vice President-November 2024
New York
Nov 13, 2024
ABOUT WELLS FARGO
Wells Fargo is a diversified, community-based financial services company with a vision to satisfy customer’s financial needs and help them succeed financially.
10,000+ employees
Financial Services, Technology
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About Front Office XVA Quant Model Developer - Vice President

  About this role:

  CIB Quantitative Strategies a Vice President needed to help drive our objectives in counterparty risk modeling. The candidate will implement the PFE and XVA combined modeling strategy to move away from the current siloed frameworks. In addition to strategic framework development, he/she will support key platform changes in both front office and risk as it relates to counterparty risk models, e.g. FRTB standard approach for CVA.

  The candidate will have to collaborate with front office trading, risk oversight, technology, and model governance functions ensuring requirements are met and governance is adhered to. He/she will possess high quality communications skills both written and verbal in order to socialize the approaches and highlight progress and issues in need of support.

  In this role, you will:

  Lead the design, implementation, and delivery of a unified and shared modeling platform for both PFE and XVA.

  Lead the design, implementation, and delivery of practical pricing and risk management solutions in XVA.

  Primary Quant faceoff for PFE/XVA combined modeling strategy

  Engage with front office and risk stakeholders for understanding requirements and ensuring implementation successfully meets those requirements.

  Lead modeling development on shared C++ library platform.

  Partner with technology to drive platform design across quant model, data, and calculation framework.

  Required Qualifications, US:

  4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, educationDesired Qualifications:

  Team player with excellent verbal and written communication skills to work with PFE and XVA stakeholders.

  Strong expertise in PFE and XVA modeling and model implementation.

  Strong experience in derivatives modeling and implementation, especially (Rates, FX, Equity, and Commodities)

  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 the model implementation.

  Delivery focused with experience partnering with technology to deploy the model in the system.

  Ability to work on multiple projects and effectively organize tasks, manage time, set priorities and meet deadlines.

  Strong interest in financial markets and willingness to provide practical solutions for the business stakeholders.

  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.

  4+ years of quantitative development experience

  4+ years of derivatives experience

  4+ years of front office derivatives Quant model experience

  Job Expectations:

  Base salary for this role in NY, NY is $138,500-$250,000Pay Range

  $120,400.00 - $287,600.00

  Benefits

  Wells Fargo provides all eligible full- and part-time employees with a comprehensive set of benefits designed to protect their physical and financial health and to help them make the most of their financial future. Visit Benefits - Wells Fargo Careers for an overview of the following benefit plans and programs offered to employees.

  401(k) Plan

  Paid Time Off

  Parental Leave

  Critical Caregiving Leave

  Discounts and Savings

  Health Benefits

  Commuter Benefits

  Tuition Reimbursement

  Scholarships for dependent children

  Adoption Reimbursement

  Posting End Date:

  29 Feb 2024

  * Job posting may come down early due to volume of applicants.

  We Value Diversity

  At Wells Fargo, we believe in diversity, equity and inclusion in the workplace; accordingly, we welcome applications for employment from all qualified candidates, regardless of race, color, gender, national origin, religion, age, sexual orientation, gender identity, gender expression, genetic information, individuals with disabilities, pregnancy, marital status, status as a protected veteran or any other status protected by applicable law.

  Employees support our focus on building strong customer relationships balanced with a strong risk mitigating and compliance-driven culture which firmly establishes those disciplines as critical to the success of our customers and company. They are accountable for execution of all applicable risk programs (Credit, Market, Financial Crimes, Operational, Regulatory Compliance), which includes effectively following and adhering to applicable Wells Fargo policies and procedures, appropriately fulfilling risk and compliance obligations, timely and effective escalation and remediation of issues, and making sound risk decisions. There is emphasis on proactive monitoring, governance, risk identification and escalation, as well as making sound risk decisions commensurate with the business unit's risk appetite and all risk and compliance program requirements.

  Candidates applying to job openings posted in US: All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other legally protected characteristic.

  Applicants with Disabilities

  To request a medical accommodation during the application or interview process, visit Disability Inclusion at Wells Fargo .

  Drug and Alcohol Policy

  Wells Fargo maintains a drug free workplace. Please see our Drug and Alcohol Policy to learn more.

  Company: WELLS FARGO BANK

  Req Number: R-328791-1

  Updated: Mon Jan 08 00:00:00 UTC 2024

  Location: NEW YORK,New York

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