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Implement interest rate models, mortgage prepayment models, mortgage default models, derivative valuation models, hedging strategies, and horizon forecast models to support various mortgage business in Wells Fargo.
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The MMDC centrally manages all quantitative modeling related to market and interest rate risk on the bank's mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
$120,400 - $287,600 a yearFull-timeExpandApply NowActive JobUpdated 6 days ago - UpvoteDownvoteShare Job
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Requires a Bachelor's degree in finance, economics or related field and 12+ years in derivatives trading in Interest Rate, Foreign Exchange, and Commodities (Oil and Gas specifically) derivative products, managing large client derivatives portfolios in these markets.
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Develop a strong understanding of the fixed income market, economic indicators, investor demand and other determinants to effectively communicate with the FHLBanks, agency dealers, interest rate derivative counterparties, and other related market participants on the debt issuance process.
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Perform professional business and complex instrument valuations such as equity derivatives, fixed income derivative models, equity instruments in complex capital structures, and contingent claims, utilizing advanced statistical and financial concepts such as stochastic processes, Monte Carlo simulation, binomial lattices (equity and interest rate models), and real options.
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This role will specialize in the validation of a mix of the following models: derivative pricing models, Value at Risk (VaR) models, asset and liability models measuring interest rate risk and liquidity, term structure models, securities valuation and sensitivity models, and counterparty credit risk measurement models such as Potential Future Exposure (PFE) and Credit Valuation Adjustment (CVA.
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As a Quantitative Analytics/Modeling Consultant within PNC's Model Risk Management organization, you can be based in Pittsburgh, PA or Tyson's Corner, VA. Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.
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Your responsibilities will include building, maintaining and enhancing pricing models and interest rate curve models, quantitative risk management and quoting methodologies, and real-time systems used by the trading desk for quoting and risk analysis.
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FX and interest rate derivative / hedging experienceExpertise in cash flow forecasting / budgeting and analytics Cash management and repatriation expertise. Manages and administers foreign exchange and interest rate risk policies and hedging programs to protect against adverse consequences of foreign exchange and interest rate fluctuations.
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The Fixed Income Division is comprised of Interest Rate and Currency Products, Credit Products and Distribution. The Commodities Division is a market leader in energy, metals, and agricultural product trading worldwide whose professional’s trade in both physical and derivative commodity risk.
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Measure, monitor and manage daily Market, Credit, Operational and Regulatory risks for Corporate Bond, Municipal Bond, Loan, Foreign Exchange, Asset Backed, Commodity, and Interest Rate Derivative trading desks.
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Ensures the appropriate recording of derivative, hedging activities, including interest rate swaps and fuel hedges in compliance with GAAP utilizing regulatory treatment, as applicable.
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Examples of models developed by EMRG’s have covered a range of subjects: credit risk, CCAR/stress testing, interest rate risk, balance sheet forecasting, market risk, anti-money laundering, economic capital, fixed income analysis, yield curve construction, derivative valuation, customer propensity scoring, and customer segmentation.
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Strong familiarity with interest rate derivative markets, conventions, and industry standards, as well as direct experience with the application of hedge accounting and execution of linear and non-linear derivative transactionsExtensive experience in developing limit structures and developing policies with justification for Market Risk, Derivatives, and Hedging.
$133,600 - $296,800 a yearFull-timeExpandApply NowActive JobUpdated Today - UpvoteDownvoteShare Job
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Experience with financial markets and assets; preference for vanilla interest rate derivative pricing, bond pricing, curve construction, hedging strategies and risk management. How you will fulfill your potential: Develop software and analytics to progress Corporate Treasury’s mandates: interest rate pricing & risk management, trade execution, funding optimization & liquidity risk management and cash & collateral management.
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