The Counterparty Credit Risk Analytics (CCRA) team is part of a Center of Excellence designed to improve model development. This group is housed within the Enterprise Counterparty & Market Risk organization and is responsible for all counterparty credit risk analytics for the firm.
CCRA is seeking a strong quant that will focus on the research, development, testing, and documentation of the models for the Potential Future Exposure (PFE) calculation, which is used for counterparty limit setting and other analysis in support of the Bank’s counterparty credit risk management. Most of the exposure modeling is based on Monte Carlo simulation and full re-valuation of derivatives, therefore the ideal candidate will be a subject-matter expert in Monte Carlo simulation as well as derivative pricing. The underlying assets include interest rates, commodities, equities, foreign exchange, credit derivatives, and hybrid products. The PFE model development involves collaboration with Front Office CVA/pricing model developers, interactions with cross-functional teams, and dialogues with internal reviewers (Model Validation and Internal Audit). Strong communication skills and strategic partnership will be essential to this role.
Responsibilities for this role will include, but not be limited to, the following:
Relevant experience in counterparty credit risk modeling at a major financial institution with a successful track record of accomplishing complex projects is highly preferred. This is a highly visible opportunity and the ability to manage and support relationships with the Front Office developers and trading desks, the technology and data teams, various business partners, and the internal reviewers and regulators is critical.Required Qualifications
Other Desired Qualifications
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.