Quantitative Modeler Manager

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.

Job Description

Leads a team whose primary purpose is to create, validate, test, document, implement, and oversee derivatives standardized/regulatory capital approaches such as SIMM, SACCR, SACVA. The models coverage extends/includes XVA related models and analytics as necessary.

Responsible for oversight of a team whose deliverables include the creation of model development, testing and/or validation documentation such as: presentations, written reports, model or reporting code documentation, business requirements, monitoring reports and related code, and procedures.

The role is highly technical with a focus on derivatives and requires a blend of quantitative skills along with excellent time management, prioritization and communication skills. The incumbent will interact with senior management and regulators and must possess the ability to explain complex items in a straight forward manner.

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

- 5+ years of experience, preferably with financial engineering focusing on derivatives

- 2+ years of experience managing direct reports

- Knowledge of option pricing methodology specifically as it relates to fixed income derivatives

- Understanding of counterparty credit risk and/or XVA models

- Familiarity with pricing multiple asset classes individually and within hybrid models (i.e. fixed income, foreign exchange, equity, etc.) 

- Proven success writing code within visual studio or a comparable, Python experience

- Experience with regulatory capital/risk rules (SACCR, SIMM etc.) is a plus

- Experience utilizing server-based calculation solutions, experience with Numerix, Calypso or other analytical platforms is a plus

- Demonstrated independence, teamwork and leadership skills
- Strong analytical, organizational, problem-solving, negotiation, and project management skills
- Excellent interpersonal, verbal and written communication skills

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 progra