Senior Quantitative Analytics Specialist - Market Risk Model Validation

About this role:

Wells Fargo is seeking a Senior Quantitative Analytics Specialist - Market Risk Model Validation.

In this role, you will:

• Perform highly complex activities related to creation, implementation, and documentation
• Use highly complex statistical theory to quantify, analyze and manage markets
• Forecast losses and compute capital requirements providing insights, regarding a wide array of business initiatives
• Utilize structured securities and provide expertise on theory and mathematics behind the data
• Manage market, credit, and operational risks to forecast losses and compute capital requirements
• Participate in the discussion related to analytical strategies, modeling and forecasting methods
• Identify structure to influence global assessments, inclusive of technical, audit and market perspectives
• Collaborate and consult with regulators, auditors and individuals that are technically oriented and have excellent communication skills

Required Qualifications:

• 4+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
• Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science

Desired Qualifications:

• Performing mathematical model validation using Python, C++, R, and SQL or other programming languages and mathematical/statistical packages
• Producing required documentation to substantiate model validation.
• Analyzing processes and work flows to make recommendations for process improvement in various risk management and/or business areas as well as participating in and leading model risk projects.
• Strong mathematical, statistical, analytical and computational skills
• Strong communication skills for a variety of audiences (other technical staff, senior management and regulators) both verbally and in writing
• Capability to multi-task and finish work within strict timelines and provide timely requests for information and follow-up questions
• Ability to work independently on complex model validations from start to finish
• Able to demonstrate first-hand knowledge of advanced topics in various mathematical and numerical methods such as Monte Carlo, stochastic calculus, differential equations, linear algebra, applied probability, and statistics;
• Skill in managing relationships with key model stakeholders
• Eagerness to contribute collaboratively on projects and discussions
• Perpetual interest in learning something new, but being comfortable with not knowing the all the answers
• Attention to detail in both analytics and documentation
• Aptitude for synthesizing data to 'form a story' and align information to contrast/compare to industry perspective
• Intellectually curious, who enjoy solving problems
• Excellent programing skills and use of software packages such as C++, Python, R, SAS and SQL
• Ability to prioritize work, meet deadlines, achieve goals, and work under pressure in a dynamic and complex environment
• Good interpersonal skills and ability to develop partnerships and collaborate with other business and functional areas

Job expectations:

• This Senior Quantitative Analytics Specialist position is an individual contributor role in the Trading, Market and Counterparty Risk team within MRM. This team deals with validating mathematical models for pricing and hedging complex financial instruments. We use traditional and cutting-edge techniques in applied and computational mathematics to assess and validate models. In particular, the candidate is expected to have hands-on knowledge of working on PFE (Potential Future Exposure) models, XVA framework and Counterparty Credit Risk concepts. Candidate should have strong knowledge of derivative pricing theory, numerical techniques in Mathematical Finance such as Numerical PDE, Monte-Carlo Methods and Computational Programming.
• A Senior Quantitative Analytics Specialist should have a deep academic knowledge, broad based approach to solve business problems. He/she should approach the problem agnostic of analytic technique, tool or process. Ability to think outside the box and provide ensemble solutions should set them apart to be a high performing team member.
• Wells Fargo’s Model Risk Management is responsible for independently overseeing the management of model risk exposures across the enterprise (including governing, monitoring, and reporting on aggregate model risk exposures, model validations, and model oversight across enterprise). This oversight extends to all phases of a model’s life cycle, including identification, development, validation, implementation, finding resolution, usage, performance monitoring, documentation, and retirement.
• MRM operates in a fast-paced work environment with continuously changing policies and technologies. The successful candidate is expected to be self- motivated, require minimal supervision, and produce work that is consistent with MRM’s recognized high standards.  Effective work will involve familiarity with source systems of record, analytical data and sampling plans, model replications, model performance assessments, and test model development as effective challenges to lines of business.  It further requires strength in writing detailed standard analytical reports to ensure Wells Fargo’s compliance with governance policies and regulations. Each validation report will include assessments of the specific business, model purpose and history, the model methodology, data integrity, model development, performance, implementation, and monitoring.  These documents are read by a broad audience, including auditors and regulators.

Posting End Date: 

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

We Value Equal Opportunity

Wells Fargo is an equal opportunity employer. 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.

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 Canada: Applications for employment are encouraged from all qualified candidates, including women, persons with disabilities, aboriginal peoples and visible minorities. Accommodation for applicants with disabilities is available upon request in connection with the recruitment process.

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.

Wells Fargo Recruitment and Hiring Requirements:

a. Third-Party recordings are prohibited unless authorized by Wells Fargo.

b. Wells Fargo requires you to directly represent your own experiences during the recruiting and hiring process.