Wells Fargo is seeking a CIB Quantitative Strategist to help drive objectives in counterparty risk modeling and implement a combined PFE and XVA modeling strategy.
Requirements
- 5+ years of Securities Quantitative Analytics experience
- 4+ years of quantitative development experience
- 4+ years PFE and XVA modeling and model implementation
- 4+ years of front office derivatives Quant model experience
- Strong experience in derivatives modeling and implementation, such as; Rates, FX, Equity, and Commodities
- Solid knowledge of financial mathematics, particularly, stochastic calculus, Monte-Carlo and other numerical methods
- Strong hands-on programming skills in C++ and Python, and proficient in the model implementation
Responsibilities
- Lead the design, implementation, and delivery of a unified and shared modeling platform for both PFE and XVA
- Develop and Lead the design, implementation, and delivery of practical pricing and risk management solutions in XVA
- Review and analyze complex multi-faceted, larger scale or longer-term business, operational, or technical challenges that require in-depth evaluation of multiple factors including intangibles or unprecedented factors
- Primary Quant faceoff for PFE/XVA combined modeling strategy
- Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
- Lead modeling development on shared C++ library platform
- Make decisions on complex and multi-faceted situations and partner with technology to drive platform design across quant model, data, and calculation framework.
Other
- Team player with excellent verbal and written communication skills to work with PFE and XVA stakeholders
- Ability to work on multiple projects and effectively organize tasks, manage time, set priorities and meet deadlines
- Strong interest in financial markets and willingness to provide practical solutions for the business stakeholders
- Ph.D. degree in a quantitative discipline
- FINRA Background Screening Requirements, including successful completion and clearing of a background check.
