Senior Quantitative Model Analyst - Counterparty Credit Risk Modeling

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.

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The successful candidate will leverage advanced quantitative methods, strong programming skills, and deep derivatives expertise to develop, enhance, and maintain counter party exposure models used to support the Bank's trading, prime brokerage, and securities financing businesses. This role requires close collaboration with trading desks, risk management, technology partners, model validation, internal audit, and regulatory stakeholders. The ideal candidate will possess strong expertise in derivative pricing, stochastic simulation, and counter party exposure modeling, with the ability to apply quantitative techniques to a broad range of products and portfolios.

The modeling framework is primarily based on Monte Carlo simulation and derivative valuation methodologies and supports the measurement of key counter party credit risk metrics such as Potential Future Exposure (PFE) and Expected Exposure (EE).

• Interest Rate Derivatives
• Foreign Exchange Derivatives
• Equity Derivatives
• Commodity Derivatives
• Prime Brokerage and Equity Finance Products
• Securities Financing Transactions

Research, design, develop, test, and maintain counter party exposure models for derivatives, prime brokerage, and securities financing transactions. Develop and enhance methodologies for measuring Potential Future Exposure (PFE), Expected Exposure (EE), and other CCR risk metrics. Support the development and maintenance of pricing models and risk factor simulation frameworks used in Monte Carlo exposure calculations. Develop and enhance exposure methodologies for Prime Brokerage and Equity Finance products.

Perform model monitoring, benchmarking, backtesting, sensitivity analysis, and performance assessments at the risk factor, trade, and portfolio levels. Partner closely with trading desks, risk managers, technology teams, and business stakeholders to ensure quantitative solutions effectively meet business, risk, and regulatory requirements. Collaborate with Model Risk Management, Internal Audit, and regulatory agencies to support model reviews, validation activities, and regulatory examinations.

Prepare clear and comprehensive technical documentation covering model methodology, assumptions, limitations, implementation requirements, and performance monitoring results. Present quantitative methodologies, model performance results, and risk analytics to technical and non-technical audiences, including senior management and governance committees. Contribute to the ongoing enhancement of the Bank's counter party credit risk modeling framework, analytics infrastructure, and quantitative capabilities.

• - 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

• Master or Ph.D degree in a quantitative or related field (e.g., economics, finance, mathematics, statistics, engineering, computer science) or equivalent practical experience.
• Five or more years of experience in quantitative modeling, quantitative research,…