Quantitative Analytics Specialist 4 - Derivatives Model Validation

Important Note: During the application process, ensure your contact information (email and phone number) is up to date and upload your current resume when submitting your application for consideration. To participate in some selection activities you will need to respond to an invitation. The invitation can be sent by both email and text message.  In order to receive text message invitations, your profile must include a mobile phone number designated as “Personal Cell” or “Cellular” in the contact information of your application.

At Wells Fargo, we are looking for talented people who will put our customers at the center of everything we do. We are seeking candidates who embrace diversity, equity and inclusion in a workplace where everyone feels valued and inspired.

Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.

As the company's second line of defense, Corporate Risk — or Independent Risk Management — provides independent oversight of risk-taking activities. Independent Risk Management establishes and maintains Wells Fargo's risk management program and provides oversight, including challenges to and independent assessment of, the frontline's execution of its risk management responsibilities. We manage risk according to the Risk Management Framework and ensure all employees understand their individual accountability for managing risk. Corporate Risk roles depend on a variety of skills, including: Data analysis and synthesis, root cause analysis, change management, process management & execution, risk governance, risk strategy, risk identification & assessment, risk prevention, controls & mitigation, risk monitoring, reporting & escalation, risk systems & technology.

The Corporate Model Risk Group (CMoR) is seeking an experienced analyst to join its model validation team.  Our diverse lines of business offer a world of opportunity to expand your capabilities and advance your career. We invest in our people and provide a supportive environment in which to learn and grow.

CMoR is responsible for independently overseeing the management of model risk exposures and the quality of model risk management practices across the company. Market risk models are used to measure the risk of possible economic loss from adverse changes in market risk factors such as interest rates, credit spreads, foreign exchange rates, equity prices, commodity prices, mortgage rates, and market liquidity dynamics. Market risk includes, but is not limited to, the risk of economic loss associated with price risk in a trading book, fair-value price risk of available-for-sale (AFS) securities and held-for-sale (HFS) assets, hedge-effectiveness risk associated with a mortgage book, and impairment on private equity investments.

This highly visibly position will interact with various key model stakeholders and therefore requires someone with the ability to develop and maintain strong strategic partnerships.  The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important.  The team operates in a fast paced environment and hence an ability to multi-task and meet strict timelines is critical.

Responsibilities for this role will include, but not be limited to, the following:

Model validation

• Completing model validations timely and effectively under firm’s model risk management policies, regulatory guidance, and industry best practices.
• Reducing model risk to meet or exceed regulatory and industry standards with effective challenges to business models in the areas of developmental data, framework, assumptions, specification, and implementation.
• Identifying model weaknesses with a keen understanding of industry best practices and tradeoffs between different approaches.
• Communicating model issues and limitations clearly and effectively to key stakeholders in both validation reports and model forums.
• Working with stakeholders to resolve validation findings and review mitigating controls over limitations.

     Leadership

• Contributing to the improvement of validation processes by developing and improving standards and procedures.
• Leading development of model libraries and testing automation tools.
• Mentoring and training of junior team members.
• Interfacing actively with senior management and key stakeholders on key modeling issues, weaknesses of the processes or procedures, and driving toward practical solutions.
• Engaging effectively with regulators, internal audits, and other key stakeholders with respect to validation policies and procedures in model risk identification and model risk mitigation.

• 4+ years of experience in an advanced scientific or mathematical field
• A master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science

• A PhD with 4+ years or a Master’s degree with 7+ year of relevant experience in model development, research, or validation in the areas of financial derivatives, market risk, or counterparty credit risk working in a financial institution, software company, teaching/research institution, or other related entity.
• Knowledge of stochastic calculus, Monte Carlo methods, and finite difference methods.
• Knowledge of derivative products (futures, swaps, vanilla options, exotic options), derivative pricing models, market risk models, or counterparty credit risk exposure models, and knowledge of capital markets.
• Excellent understanding of general derivative pricing theory, strong hand-on experience with model development, research, or validation in derivatives pricing models.
• Programming: 7+ years of hands-on experiences in Python or C++.
• Excellent verbal and written communication skills, ability to summarize, document, and communicate critical information and ability to convey results to diverse audiences, of either technical or non-technical background.
• Ability to engage diverse stakeholders for the planning and completing of complex model validation projects independently and effectively.
• Knowledge of model risk management practices and familiarity with regulatory requirements for sound model risk management practices such as SR 11-7, SR 15-18, and Basel - FRTB. 
   

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• All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.
  
  Relevant military experience is considered for veterans and transitioning service men and women.
  Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.

Benefits
 

Visit https://www.wellsfargo.com/about/careers/benefits for benefits information.