about This function
Wells Fargo is searching for a CIB Quantitative Strategist – vice president (Lead Securities Quantitative Analytics expert) in company & funding Banking. analyze greater about the profession areas and features of enterprise at wellsfargojobs.com .
The man or woman will help pressure our objectives in counterparty danger modeling. The candidate will implement the PFE and XVA mixed modeling approach to transport faraway from the contemporary siloed frameworks. similarly to strategic framework improvement, the opportunity will help key platform modifications in each front workplace and danger as it relates to counterparty hazard models, e.g. FRTB trendy approach for CVA.
The possibility will collaborate with the front office trading, danger oversight, generation, and model governance features ensuring requirements are met and governance is adhered to. the perfect candidate will possess high satisfactory communications capabilities each written and verbal if you want to socialize the tactics and highlight development and problems in want of support.
in this function, you’ll
Lead the design, implementation, and delivery of a unified and shared modeling platform for both PFE and XVA
expand and Lead the design, implementation, and transport of practical pricing and threat management solutions in XVA
overview and analyze complicated multi-faceted, larger scale or longer-term enterprise, operational, or technical challenges that require in-intensity assessment of more than one elements inclusive of intangibles or unprecedented elements
number one Quant faceoff for PFE/XVA blended modeling approach
behavior research on trading price fashions, liquidity fashions, danger fashions, portfolio construction methodology, and sign era
Lead modeling development on shared C++ library platform
Make choices on complex and multi-faceted situations and companion with technology to power platform design across quant version, records, and calculation framework.
interact with front office and threat stakeholders for know-how necessities and making sure implementation efficiently meets the ones requirements, whilst playing an necessary position to the trading ground
Required qualifications:
5+ years of Securities Quantitative Analytics revel in, or equal verified via one or a mixture of the subsequent: work revel in, training, navy revel in, training
favored qualifications:
four+ years of quantitative development enjoy
four+ years PFE and XVA modeling and model implementation
four+ years of the front workplace derivatives Quant version experience
crew player with exquisite verbal and written verbal exchange abilities to work with PFE and XVA stakeholders
strong experience in derivatives modeling and implementation, together with; fees, FX, fairness, and Commodities
enjoy operating with sales and buying and selling partners
stable knowledge of economic arithmetic, mainly, stochastic calculus, Monte-Carlo and other numerical strategies
strong hands-on programming talents in C++ and Python, and gifted inside the model implementation
delivery focused with enjoy partnering with generation to set up the version inside the gadget
capability to work on multiple projects and effectively prepare responsibilities, manipulate time, set priorities and meet cut-off dates
strong hobby in monetary markets and willingness to provide sensible answers for the enterprise stakeholders
experience with version documentation and model validation
proven revel in in successfully collaborating with others in a change pushed surroundings
Ph.D. diploma in a quantitative area
