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The model validation analyst validates, tests, documents and oversees the usage of complex statistical models related to capital markets, market risk and mortgage exposures at the bank. The models include VaR, derivatives pricing, XVA, counterparty credit risk, market risk and mortgage models (e.g., prepayment, default, current coupon). The successful candidate will have a deep understanding of valuation methods, capital markets operations, and market risk measurement approaches. Analyst will be responsible for documenting and testing complex statistical models and effectively communicating the results to stakeholders within the Bank. Deliverables include the creation of model validation documentation and work products such as: presentations, written reports, various forms of model code review, business requirements, monitoring reports, and procedures.
Basic Qualifications - Bachelor's degree in a quantitative field, and five to eight years of experience in statistical modeling OR - Master's or PhD degree in a quantitative field, and less than five years of experience in statistical modeling
- Advanced understanding of applicable laws, regulations (OCC 2011-12 / SR11-7, Market Risk Rule, FRTB), financial services, and regulatory trends that affect capital markets. - Advanced understanding of vanilla and exotic option pricing methodologies, as well as the greeks. - Strong statistical modeling background based on technical training or advanced education in a quantitative field - Advanced knowledge of regression techniques, stochastic differential equations, times series methods, optimization and other statistical models. Must be able to design tests for validation hypotheses, using R, Matlab, Python or similar statistical software. - Strong data compilation, programming and qualitative analysis skills - Background with QRM, Calypso, Polypaths, RiskMetrics, Yieldbook or other trading related platforms - Demonstrated independence, team work and leadership skills - Strong project management skills - Excellent written and verbal communication ability - Relevant industry certifications are helpful (CFA, FRM) and/or trading licenses (series 7, 65/66, etc.), but not required
Primary Location: North Carolina-NC-Charlotte Work Locations: Job: Risk/Compliance/QC/Audit/Fraud Organization: U.S. Bank. Shift: 1st - Daytime