At U.S. Bank, we’re on a journey to do our best. Helping the customers and businesses we serve to make better and smarter financial decisions and enabling the communities we support to grow and succeed.  We believe it takes all of us to bring our shared ambition to life, and each person is unique in their potential. A career with U.S. Bank gives you a wide, ever-growing range of opportunities to discover what makes you thrive at every stage of your career. Try new things, learn new skills and discover what you excel at—all from Day One.

U.S. Bank is seeking a Quantitative Analyst to provide oversight over clearing risk management and stress testing for derivatives counterparties and & secured financing transactions counterparties. The counterparty risk management function is responsible for the management and control of counterparty risk at US Bank.  The group provides independent review of counterparty risk across the business, producing detailed analysis of the derivative portfolio for internal and external constituents and manage the control framework under which counterparty risk is governed.

The person will be responsible for conducting regular stress testing using 30+ scenarios. Ad hoc stress scenarios will also be run on emerging risk factors. Market risk factors such as, rates, fx, commodities, credit and equity are consideration for stress test framework so is probability of default of the counterparties. The person will opine on quantitative market data methodologies (standardization, proxies, data cleaning, and operational processes). This includes how to measure the quality of data for use in pricing models for Counterparty Models. Employ analytical and quantitative approaches to analyze and process data required for the new model.

Serves as an escalation point in interactions with stakeholders across Front Office and Quantitative Model teams including development of teams and technology on various market data-related topics for clearing and stress test:

Works with model development and validation groups in ensuring the accuracy and reasonableness of the stress test and other model assumptions. Partners with them in ensuring on smooth maintenance of ongoing monitoring of models. Review all counterparty related model documentation and sign-off on key assumptions. Liaison with technology and other key groups regarding counterparty risk infrastructure and processes.

Basic Qualifications
- Bachelor’s degree in a quantitative field, and 10 or more years of relevant experience
OR
- MA/MS in a quantitative field, and six or more years of related experience
OR
- PhD in a quantitative field, and five or more years of related experience

Preferred Skills/Experience

Experience in capital markets, industry experience within the specific sector of the position, or a combination of both

Master’s degree or higher in a quantitative field such as mathematics, engineering, physics, or statistics

Required strong Python & SQL

Experience financial modeling and strong understanding of stochastic processes  

Experience building an efficient large scale and complex market data operations/end to end market data engineering processes in a sales and trading environment

Experience working with quant teams developing market data management systems which allow for efficient data retrieving to optimize modeling approaches

Experience leading large teams/multiple business partners, overseeing business as usual market data operations with strong governance processes and controls

Knowledge and understanding of traded derivative and cash products across all asset classes to effectively have discussions with Front Office traders, Market Risk Officers, and Risk Analytics team

Experience overseeing the development and implementation of quantitative methods for data quality checks and remediation techniques including statistical data filling methods and proxying

Understanding of how market data impacts the downstream uses

Counterparty credit risk and CVA

Understanding of major market data sources (e.g., Bloomberg, Reuters, Markit)

Market data object construction methods for curves and volatility surfaces

Risk factor types across asset classes

Market data related to regulatory requirements 

Experience in quantitative or complex data management field

Experience working with large scale and complex data management systems

Proficient in Python and SQL (reading and writing queries)

NOTE:  This role offers a hybrid/flexible schedule, which means there's an in-office expectation of 3 or more days per week and the flexibility to work outside the office location for the other days.

If there’s anything we can do to accommodate a disability during any portion of the application or hiring process, please refer to our disability accommodations for applicants.

Benefits: 

Our approach to benefits and total rewards considers our team members’ whole selves and what may be needed to thrive in and outside work. That's why our benefits are designed to help you and your family boost your health, protect your financial security and give you peace of mind. Our benefits include the following (some may vary based on role, location or hours):

Healthcare (medical, dental, vision)

Basic term and optional term life insurance

Short-term and long-term disability

Pregnancy disability and parental leave

401(k) and employer-funded retirement plan

Paid vacation (from two to five weeks depending on salary grade and tenure)

Up to 11 paid holiday opportunities

Adoption assistance

Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law

U.S. Bank is an equal opportunity employer. We consider all qualified applicants without regard to race, religion, color, sex, national origin, age, sexual orientation, gender identity, disability or veteran status, and other factors protected under applicable law.

E-Verify

U.S. Bank participates in the U.S. Department of Homeland Security E-Verify program in all facilities located in the United States and certain U.S. territories. The E-Verify program is an Internet-based employment eligibility verification system operated by the U.S. Citizenship and Immigration Services. Learn more about the E-Verify program.

U.S. Bank will consider qualified applicants with arrest or conviction records for employment. U.S. Bank conducts background checks consistent with applicable local laws, including the Los Angeles County Fair Chance Ordinance and the California Fair Chance Act as well as the San Francisco Fair Chance Ordinance. U.S. Bank is subject to, and conducts background checks consistent with the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA). In addition, certain positions may also be subject to the requirements of FINRA, NMLS registration, Reg Z, Reg G, OFAC, the NFA, the FCPA, the Bank Secrecy Act, the SAFE Act, and/or federal guidelines applicable to an agreement, such as those related to ethics, safety, or operational procedures.

Applicants must be able to comply with U.S. Bank policies and procedures including the Code of Ethics and Business Conduct and related workplace conduct and safety policies.

Posting may be closed earlier due to high volume of applicants.