Market Risk Consultant 3 - CVA and IDL Oversight
At Wells Fargo, we have one goal: to satisfy our customers' financial needs and help them achieve their dreams. We're looking for talented people who will put our customers at the center of everything we do. Join our diverse and inclusive team where you'll feel valued and inspired to contribute your unique skills and experience.
Help us build a better Wells Fargo. It all begins with outstanding talent. It all begins with you.
Corporate Risk helps all Wells Fargo businesses identify and manage risk. We focus on three key risk areas: credit risk, operational risk and market risk. We help our management and Board of Directors identify and monitor risks that may affect multiple lines of business, and take appropriate action when business activities exceed the risk tolerance of the company.
This position will be responsible for building out the oversight framework for counterparty and market risk IDL and providing strong oversight of the FO CVA desk. It will also lead various model-related tasks for CVA and IDL, such as challenge around model methodologies and assumptions, Risks not in Model and stressed model overlays. This position is expected to develop a close working relationship with the Front Office, Quants, Risk Analytics, Middle Office, Technology and other risk management groups to support new IDL functions and current CVA functions to enhance the risk management capabilities needed to meet regulatory requirements.
Primary responsibilities for the position will include:
- Develop the new IDL risk management framework for counterparty and market risk CCAR/DFAST
- Provide expertise and credible challenge on the IDL and CVA model assumptions and limitations
- Work closely with traders, credit and market risk managers, and quantitative teams to analyze, review, and challenge CCAR/DFAST results for IDL and CVA
- Understand the variables and market factors that impact the firm's counterparty credit and market risk processes to identify changes in model valuation inputs and outputs
- Partner with quantitative functions across the platform including risk management, risk analytics, corporate model risk and FO quants to review and document analysis
- Provide expertise on Risks not in Model/Stress, stress loss model overlays, wrong way risk and cross-asset CVA
- Understand relevant business, regulatory and risk requirements pertaining to IDL and CVA, as well as maintain an awareness of current regulatory trends and resulting impacts
- Work with technology and reporting functions to build out quantitative analysis
- Contribute to firm-wide initiatives on other XVA metrics such as FVA, KVA and MVA
- 3+ years of experience in one or a combination of the following: trading, desk analyst, or capital markets
- Intermediate Microsoft Office skills
- Strong analytical skills with high attention to detail and accuracy
- Excellent verbal, written, and interpersonal communication skills
- Knowledge and understanding of risk management in credit, market, or operations
- Knowledge and understanding of model review and validation
- SQL experience
- Ability to consult, build, and maintain solid working relationships in and outside of immediate department
Other Desired Qualifications
- Understanding of the sensitivities of counterparty and market risk with the ability to understand the valuation of derivative products
- Exposure to counterparty credit risk (i.e. PFE, EL, credit capital) and/or market risk (i.e., monte carlo, greeks, VaR) methodologies and systems
- Strong analytical skills with experience in analyzing counterparty and market risks, including under stress scenarios
- Comfort using large data sets and queries and applying them to analytical analysis
- Demonstrated experience with various mathematical, statistical and risk packages
- Strong computer skills (complete facility with Excel, trading applications and various market data services)
- Experience in interest rate and/or credit derivatives FO
- Familiarity with trading desk operations and systems
- Exposure to regulatory framework for traded products, including Dodd-Frank and Basel
- Undergraduate degree or higher in finance, mathematics, engineering or related field
- CFA/FRM certification
All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.
Relevant military experience is considered for veterans and transitioning service men and women.
Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.
CORP RISK/CORPORATE RISK
0049435 CORP RISK/CORPORATE RISK
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