Senior Lead Mortgage / Interest Rate Modeler

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.

Finance brings together enterprise functions that drive Wells Fargo's financial management, including accounting and control, financial planning and analysis, line of business finance, asset-liability management, treasury, tax management, and the company's investment portfolios. They also inform shareholders, regulators, taxing authorities, employees, and leaders of the company's financial performance through earnings releases, investor meetings and conferences, and meetings with regulators and credit rating agencies, following appropriate reporting guidelines.

Investment Portfolio

The Wells Fargo Investment Portfolio (IP) manages the Company’s Available-For-Sale (AFS) and Held-To-Maturity (HTM) securities and loan portfolios, and the Reinsurance and Bank Owned Life Insurance (BOLI) businesses as part of the Finance group. IP also provides strategic and analytical balance sheet support to the bank, as well as a centralized, street-facing trade execution and hedging function and centralized mortgage modeling for the enterprise. The Investment Portfolio consists of:

• Credit Investment Portfolio (CIP): Responsible for the evaluation of credit-driven investment opportunities across a broad spectrum of corporate notes, loans, Municipal bonds, CLOs, and other asset backed securities
• Macro Investment Portfolio (MIP): Responsible for maintaining a portfolio of fixed income investments to achieve liquidity, interest rate risk management, and capital management objectives on behalf of Corporate Asset/Liability Committee
• Trading: Street-facing trading desk with the ability to offer coordinated execution of all cash and derivatives trades for the portfolio, as well as for other key partners within Wells Fargo
• Reinsurance and Bank Owned Life Insurance (BOLI) businesses which consist of both life and annuity insurance contracts.
• Portfolio Strategy, Analytics, and Infrastructure (PSAI): Centrally manages IP’s analytics, including stress testing, sensitivity analytics, and optimizing investment decision making within capital, liquidity, and risk management constraints
• Mortgage Modeling Center of Excellence (MMCOE):  Centrally manages all quantitative modeling related to market and interest rate risk on the bank’s mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
• Financial Forecasting & Reporting (FFR): Centrally manages income and balance sheet forecasting and portfolio level reporting.
• IP Business Management Office: Serves as a trusted advisor and aid in establishing business priorities for the portfolios and the teams, responsible for strategizing, planning, and executing a variety of services and initiatives on behalf of the portfolio executives and their respective teams. The team also leads implementation of enterprise driven initiatives in partnership with finance and enterprise business support partners.

The Mortgage Modeling COE is seeking a skilled and experienced Quantitative Analytics Specialist 5 (QAS5). The QAS5 hired into this role will be responsible for performing highly complex activities related to complex financial products, business analysis and/or risk modeling. 

The QAS5 may utilize stochastic modeling, structured security modeling, and option adjusted spread analyses, etc.  S/he must have expertise on the theory and mathematics behind the analyses. 

Key duties and responsibilities of this position include, but may not be limited to: 

• Developing analytical strategies for real time decisioning and/or long term objectives
• Performing analytical support and/or modeling
• Providing insights regarding a wide array of business initiatives 
• Working independently on development, testing, and implementation of OAS valuation, Risk Management and Stochastic or Statistical models for Mortgage Servicing Rights, Mortgage Backed Securities and Vanilla and Exotic Interest Rate Derivatives using Polypaths and C++ 
• Conducting ongoing maintenance and research on models for risk management of mortgage and fixed-income products
• Collaborating and partnering with internal and external quantitative communities including the academic community to keep abreast with the latest developments and practices in quantitative risk and mortgage modeling as well as industry changes in general 
• Interacting with regulators on high visibility models in order to resolve regulatory MRAs
• Work with senior management in IP, RMBS Trading and Home Lending to develop a vision on new model development, so that Wells Fargo can stay ahead of industry changes and the developments at its competitors.
• Developing model performance metrics like statistical back tests or P&L explanation analysis 
• Conducting periodic reporting and analysis of model performance
• Maintaining up-to-date model documentation 
• Guide junior staff in project work

• 6+ 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 in a quantitative discipline
• Excellent verbal, written, and interpersonal communication skills
• Strong analytical skills with high attention to detail and accuracy

• Current/prior experience working with the interest rate models or mortgage valuation models
• Extensive experience in one of following two areas:  1. interest rate derivatives models such as Libor Market Model development,  or  2. statistical modeling of financial problems
• Current/prior mortgage banking environment experience
• Extensive experience in programming languages or statistical software (C++, C#, VBA, R)
• Knowledge of SQL and relational databases
• Experience using valuation/risk management systems (e.g. QRM, MIAC, Yield Book, PolyPaths, Algorithmics, etc.)
• Ability to communicate across multiple audiences (Technology, Quants, Senior Management)
• Ability to thrive in a deadline-oriented environment with a demanding workload
• Possessing a strong sense of urgency and results orientation, with outstanding ability to motivate teams and mobilize the resources to set high goals and accomplish them 
• Demonstrated passion and commitment to excellence without becoming personally attached to outcomes
• Demonstrated ability to work through business challenges consistently and effectively through collaboration and transparency 
• An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen
• Highly self-motivated with a working knowledge of risk management fundamentals and policy creation
• Possessing exceptionally strong thought leadership with a proven ability to engage and influence Executive Management 
• Possessing "Organizational Awareness," i.e., having and using knowledge of systems, situations, pressures and culture within the company to identify potential organizational problems and opportunities and perceiving the impact and the implications of decisions on other components of the company as well as the impact on investors, customers, and clients

• Ability to travel up to 5% of the time

NY-New York: 30 Hudson Yards - New York, NY
NC-Charlotte: 550 S Tryon St - Charlotte, NC

• 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.