Quantitative Analytics Cons - Interest Rates

Job Description

The Corporate Model Risk Group (CMoR) is seeking an experienced analyst to join its Interest Rates model validation team. Our diverse lines of business offer a world of opportunity to expand your capabilities and advance your career. We invest in our people and provide a supportive environment in which to learn and grow.

CMoR is responsible for independently overseeing the management of model risk exposures and the quality of model risk management practices across the company. Market risk models are used to measure the risk of possible economic loss from adverse changes in market risk factors such as interest rates, credit spreads, foreign exchange rates, and equity and commodity prices, as well as mortgage rates and market liquidity dynamics. Market risk includes, but is not limited to, the risk of economic loss associated with price risk in the trading book, fair-value price risk of available-for-sale (AFS) securities and held-for-sale (HFS) assets, hedge-effectiveness risk associated with the mortgage book, and impairment on private equity investments.

This highly visibly position will provide interaction with various key model stakeholders and therefore requires someone with the ability to develop and maintain strong strategic partnerships. The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important. The team operates in a fast paced environment and the ability to multi-task and meet strict timelines is critical.

Responsibilities for this role will include, but not be limited to, the following:

  • Work on FRTB required validation projects
  • Performing model validations and clearly documenting evidence of validation activities
  • Develop benchmarking and alternative models in C++
  • Understanding of negative interest rates and their impact
  • Providing effective challenge to models developed in the lines of business
  • Reducing model risk to meet or exceed resposibilities regulatory and industry standards
  • Identifying conceptual weaknesses in a model and understanding tradeoffs with other approaches
  • Communicating model issues and limitations to key stakeholders
  • Contributing to the improvement of model building and model use practices
  • Providing analytical support and offering insights regarding a wide array of business initiatives
  • Interacting with senior management and regulators on key modeling issues, including the identification, management and mitigation of model risk

Wells Fargo & Company (NYSE: WFC) is a diversified, community-based financial services company. Founded in 1852 and headquartered in San Francisco, Wells Fargo provides banking, insurance, investments, mortgage, and consumer and commercial finance through our many locations, ATMs, the internet (wellsfargo.com) and mobile banking. To learn more, Wells Fargo perspectives are also available at Wells Fargo Blogs and Wells Fargo Stories.

Required Qualifications

  • 2+ years of experience in an advanced scientific or mathematical field
  • A master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science

Desired Qualifications

  • A PhD in a quantitative discipline
  • Good verbal, written, and interpersonal communication skills
  • Knowledge and understanding of stochastic processes and numerical methods

Other Desired Qualifications

  • Experience in building or validating mathematical or statistical models within a financial industry, with focus on interest rate models
  • Experience and knowledge of fixed income trading business, especially swap and swaption, Muni derivatives, interest rate hedging, inflation linked products, and inflation hedging
  • Knowledge of financial industry practices and regulatory standards applied to model development, model validation and capital requirement
  • Development or validation experience with stochastic calculus applications in a financial context
  • Experience in model validation/benchmarking generally and specific modeling or validation experience in rates models, interest rate term structure, interest rates exotic derivatives pricing, stochastic convergence, Markovian model with numerical PDEs, Monte Carlo simulations, and SABR model
  • Understanding of model usage for Value-at-Risk and CCAR/Stress test
  • Understands structured securities, cash flow, credit impacts and may specialize in market and interest rate research, developing modeling systems or high-level applications to support real-time trading, deal structuring, research and investment decisions, etc.


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.


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