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Quantitative Modeler - Counterparty Credit Risk at U.S. Bank - ApplyBlast

Quantitative Modeler - Counterparty Credit Risk

U.S. Bank

1 month ago

3.3 on Glassdoor

Chicago, Illinois, United States

Hybrid

Full Time

Senior

0 applicants

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About this role

This role involves developing and maintaining counterparty exposure models to support the Bank's trading, prime brokerage, and securities financing businesses. The position requires leveraging advanced quantitative methods and programming skills to measure key counterparty credit risk metrics such as Potential Future Exposure (PFE) and Expected Exposure (EE). The successful candidate will collaborate with trading desks, risk management, and regulatory stakeholders to ensure robust quantitative solutions.

Responsibilities

Develop and maintain counterparty exposure models for derivatives and prime brokerage
Design and enhance methodologies for measuring Potential Future Exposure and Expected Exposure
Perform model monitoring, benchmarking, and sensitivity analysis at trade and portfolio levels

Skills

Qualifications

Bachelor's degree in a quantitative fieldMA/MS in a quantitative fieldPhD in a quantitative field

About U.S. Bank

usbank.com

Headquarters

Minneapolis, Minnesota, United States

Company Size

10001+ employees

Founded

1863

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Experience personalized banking services for your unique needs with U.S. Bank - Checking, credit cards, home loans & convenient online banking. Member FDIC.