Quantitative Model Analyst (Multiple openings) in Reno, NV
U.S. Bank
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
U.S. Bank is seeking a full-time Quantitative Model Analyst (Multiple openings) in Reno, NV. The Quantitative Model Analyst (multiple openings) is responsible for the support and development of SA-CCR/SA-CVA (Credit Valuation Adjustment Risk) and XVA (Valuation Adjustment) models and analytics tools, derivatives pricing, and hedging operations with a specific focus on complex quantitative methods employed in the valuation and associated risk mitigation. This position contributes to the development, testing and documentation of such mathematical tools and conducts optimal hedge analysis to support the desk. Specific duties include: (1) financial engineering focusing on derivatives; (2) implementing option pricing methodology and models covering the following asset classes: fixed income, FX, equity and credit (credit index options) as well as numerical implementation and calibration of said derivatives/models in an object-oriented framework (3) Pricing multiple asset classes individually and within hybrid models for fixed income, foreign exchange, equity, and credit; (4) establishing correlations between diverse model parameters, predicting financial model parameters using the trained fTT mapping, and testing the predictions against market implied volatilities; (5) object-oriented implementation of adjoint algorithmic differentiation for derivatives pricing and greeks; (6) utilizing efficiency techniques used in complex derivatives valuation, in particular variance reduction techniques, tensor methods and nonlinear optimization; (7) writing object-oriented C++, C#, and Java code within visual studio and Python; and (8) implementing the Crank-Nicolson method for partial differential equations and nonlinear optimization algorithms including Levenberg-Marquart.
Basic Qualifications:
This position requires a Master’s degree or equivalent in Physics, or Data Analytics and 5 years related experience in financial engineering focusing on derivatives.
Required Skills/Experience:
Must also have 24 months of experience with each of the following: (1) pricing multiple asset classes individually and within hybrid models for fixed income, foreign exchange, equity, and credit; (2) implementing option pricing methodology and models covering the following asset classes: fixed income, FX, equity and credit (credit index options) as well as numerical implementation and calibration of said derivatives/models in an object-oriented framework; (3) object-oriented implementation of adjoint algorithmic differentiation for derivatives pricing and greeks; (4) utilizing efficiency techniques used in complex derivatives valuation, in particular variance reduction techniques, tensor methods and nonlinear optimization; (5) writing object-oriented C++, C#, and Java code within visual studio and Python; and (6) implementing the Crank-Nicolson method for partial differential equations and nonlinear optimization algorithms including Levenberg-Marquart. Will accept experience gained before, during or after Master’s program. Employer will accept experience gained concurrently. U.S. Bank is subject to and conducts background checks consistent with the regulatory requirements applicable to our industry and operations.
Base pay range may vary if an offer is made for work in a different location. Pay Range: $104,270 - $ 164,100.00. (#LI-NDI #LI-DNI #LI-DNP #DE-DNP #IND-DNP).
The examination for this position may include a supplemental questionnaire. Improper or missing responses could affect your application.
This position is not eligible for visa sponsorship.
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 program is an Internet-based employment eligibility verification system operated by the U.S. Citizenship and Immigration Services. Learn more about the E-Verify program.
In addition to salary, U.S. Bank offers a comprehensive benefits package, including incentive and recognition programs, equity stock purchase 401(k) contribution and pension (all benefits are subject to eligibility requirements).U.S. Bank will consider qualified applicants with arrest or conviction records for employment. U.S. Bank conducts background checks consistent with applicable local laws, including the Los Angeles County Fair Chance Ordinance and the California Fair Chance Act as well as the San Francisco Fair Chance Ordinance. U.S. Bank is subject to, and conducts background checks consistent with the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA). In addition, certain positions may also be subject to the requirements of FINRA, NMLS registration, Reg Z, Reg G, OFAC, the NFA, the FCPA, the Bank Secrecy Act, the SAFE Act, and/or federal guidelines applicable to an agreement, such as those related to ethics, safety, or operational procedures.
Applicants must be able to comply with U.S. Bank policies and procedures including the Code of Ethics and Business Conduct and related workplace conduct and safety policies.
Posting may be closed earlier due to high volume of applicants.