Xva Quant

4 months ago

London, United Kingdom Wells Fargo Full time

**About this role**:
Wells Fargo is seeking a XVA Quant (known internally as a Senior Securities Quantitative Analytics Specialist).

**In this role, you will**:

- Design, implement, and deliver practical UK/EU inflation/structured notes models.
- Participate in the design, implementation, and delivery of practical XVA models for UK/EU inflation/structured notes trades.
- Participate in the delivery of SA CVA.
- Proactively understand business needs, brainstorm with traders and/or management, and initiate possible solutions with clear and intuitive verbal and/or written communications.
- Perform core mathematical model development and the model implementation in C++.
- Participate in the model deployment in the system.
- Understand processes and work flows to make recommendations for process improvements. Bring closure to issues, questions and requests. Solve problems independently.

You will also:

- Participate in moderately complex initiatives and deliverables within Securities Quantitative Analytics
- Contribute to large-scale departmental planning
- Combine mathematical programming and market expertise to build and generate systematic strategies
- Review and analyze moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable factors
- Use quantitative and technological techniques to solve complex business problems
- Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
- Resolve moderately complex issues independently
- Participate with the team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
- Collaborate and consult with peers, colleagues, and mid-level managers to resolve issues and achieve goals
- Help in projects, teams, or serve as a mentor for less experienced staff
- Play an integral role to the trading floor

**Required Qualifications**:

- Experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
- Experience in Securities Quantitative Analytics: Experience working as a front-office desk Quant working on UK/EU inflation/structured notes modeling with the experience in CVA modeling a plus, or significant experience working as a front office desk Quant in IR derivatives.
- Team player with excellent verbal and written communication skills to work with XVA and structured solutions traders/quants and other technical and non-technical colleagues.
- Strong expertise in UK/EU inflation/structured notes modeling. CVA modeling and model implementation a plus
- Solid knowledge of financial mathematics, particularly, stochastic calculus, Monte-Carlo and other numerical methods.
- Strong hands-on programming skills in C++ and proficient in the model implementation.
- Delivery focused with experience participating in the model deployment in the system.
- Ability to work on multiple projects and ability to effectively organize tasks, manage time, set priorities and deadlines.
- Knowledge and understanding of stochastic calculus, stochastic processes, and derivatives valuation
- Knowledge and understanding of derivative products: pricing methodologies such as; trees, Monte Carlo, and finite difference methods.
- Masters or Ph.D. degree in a quantitative discipline.
- Demonstrated experience in successfully collaborating with others in a change driven environment.
- Curious to keep up with market practices and recent developments on the pricing and regulatory fronts.
- Good intuitions on the models and the model results.
- Strong interest in financial markets and willingness to provide practical solutions for the trading desk.

**We Value Diversity**

Employees support our focus on building strong customer relationships balanced with a strong risk mitigating and compliance-driven culture which firmly establishes those disciplines as critical to the success of our customers and company. They are accountable for execution of all applicable risk programs (Credit, Market, Financial Crimes, Operational, Regulatory Compliance), which includes effectively following and adhering to applicable Wells Fargo policies and procedures, appropriately fulfilling risk and compliance obligations, timely and effective escalation and remediation of issues, and making sound risk decisions. There is emphasis on proactive monitoring, governance, risk identification and escalation, as well as making sound risk decisions commensurate with the business unit's risk appetite and all risk and compliance program requirements.

**Drug and Alcohol Policy**

Wells Fargo maintains a drug free workplace. Please see our Drug and Alcohol Policy to learn more.

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