Front Office Lead XVA / PFE Quantitative Analytics Specialist

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About this role:

Wells Fargo is seeking a CIB Quantitative Strategist - Vice President (Lead Securities Quantitative Analytics Specialist) in Corporate & Investment Banking.  Learn more about the career areas and lines of business at wellsfargojobs.com. 

The individual will help drive our objectives in counterparty risk modeling.  The candidate will implement the PFE and XVA combined modeling strategy to move away from the current siloed frameworks.  In addition to strategic framework development, the opportunity will support key platform changes in both front office and risk as it relates to counterparty risk models, e.g. FRTB standard approach for CVA. 

The opportunity will collaborate with front office trading, risk oversight, technology, and model governance functions ensuring requirements are met and governance is adhered to.  The Ideal candidate will possess high quality communications skills both written and verbal in order to socialize the approaches and highlight progress and issues in need of support.  

In this role, you will:

• 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.
• Engage with front office and risk stakeholders for understanding requirements and ensuring implementation successfully meets those requirements, while playing an integral role to the trading floor

Required Qualifications:

• 5+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Desired Qualifications:

• 4+ years of quantitative development experience
• 4+ years PFE and XVA modeling and model implementation
• 4+ years of front office derivatives Quant model experience
• Team player with excellent verbal and written communication skills to work with PFE and XVA stakeholders
• Strong experience in derivatives modeling and implementation, such as; Rates, FX, Equity, and Commodities
• Experience working with Sales and Trading partners
• 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
• Delivery focused with experience partnering with technology to deploy the model in the system
• 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
• Experience with model documentation and model validation
• Demonstrated experience in successfully collaborating with others in a change driven environment
• Ph.D. degree in a quantit