Model Risk Auditor - Capital Markets / Lead Quantitative Analytics Specialist (VP)
About this role:
Wells Fargo Internal Audit is seeking a skilled Lead Quantitative Analytics Specialist to provide audit coverage of models used to support the trading, investment, and mortgage servicing right portfolios (and associated risk management activities) across the organization. This position provides a unique opportunity to gain a broad understanding of the risk management of models across the company, in areas such as mortgage banking, market risk, trading products, counterparty credit risk, and wealth & investment management. The individual will play an instrumental role in the ongoing auditing of models used to meet the regulatory requirements of Basel, CCAR, and the Market Risk Rule.
In this role, you will:
Execute model audit engagements and technical audit reviews of models. Provide credible challenge within the third line of defense auditing of modeling practices in the company. This includes evaluation of development documentation, validation activities, ongoing monitoring.
Serve as subject matter expert to Wells Fargo Internal Audit staff, senior management, and business partners on regulatory expectations, model risk policy, and current industry modeling practices.
Produce quality deliverables suitable for senior management and external distribution.
Communicate testing findings and conclusions verbally and in writing to key stakeholders.
Build and maintain relationships with internal and external model stakeholders.
Understand model risk regulatory requirements, supervisory guidance, model risk policy and current industry practices in areas of expertise.
Develop an understanding of Wells Fargo audit methodology and policy.
Develop business knowledge of capital market related modeling areas.
Work effectively independently and within a team.
Champion opportunities and recommendations for process improvement.
Required Qualifications, US:
5+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
Master's degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science
A PhD in a quantitative discipline.
4+ years of experience in the development, validation, or auditing of interest rates, derivative pricing, market risk, or counterparty risk models in the financial services industry, preferably with a large bank.
Capital markets and derivatives: knowledge of financial derivatives (futures, swaps, vanilla options, exotic options, or asset back securities including RMBS), capital market structures, market risk management practices, and general derivative pricing theories.
Quantitative and numerical methods skills: solid background in mathematical techniques such as numerical methods, finite difference methods for PDE, stochastic calculus, Monte Carlo simulation, optimization, or other statistical methodologies.
Working knowledge of SR 11-7, SR15-18, OCC 2011-12 supervisory guidance, and Basel – FRTB.
Strong interpersonal skills, and demonstrated persuasion, negotiation and influencing skills.
Ability to work effectively in a team environment and across all organizational levels, where flexibility, collaboration, and adaptability are important
Ability to execute in a fast paced, high demand, environment while balancing multiple priorities.
Strong organizational, multitasking, and prioritizing skills.
Good analytical skills with high attention to detail and accuracy.
Excellent verbal, and written communication skills, ability to summarize, document, and communicate critical information and ability to convey results to diverse audiences, of either technical or non-technical background.
Demonstrated ability to lead junior team members
Strong work and professional ethics.
Hands-on knowledge and experience with one or more technical tools such as Python, C/C++/C#, SQL, R, Python, Matlab, SPlus, Gauss, or SAS
Pay Range$120,400.00 - $250,000.00 Annual
Wells Fargo provides all eligible full- and part-time employees with a comprehensive set of benefits designed to protect their physical and financial health and to help them make the most of their financial future. Visit Benefits - Wells Fargo Careers for an overview of the following benefit plans and programs offered to employees.
- 401(k) Plan
- Paid Time Off
- Parental Leave
- Critical Caregiving Leave
- Discounts and Savings
- Health Benefits
- Commuter Benefits
- Tuition Reimbursement
- Scholarships for dependent children
- Adoption Reimbursement
We Value Diversity
At Wells Fargo, we believe in diversity, equity and inclusion in the workplace; accordingly, we welcome applications for employment from all qualified candidates, regardless of race, color, gender, national origin, religion, age, sexual orientation, gender identity, gender expression, genetic information, individuals with disabilities, pregnancy, marital status, status as a protected veteran or any other status protected by applicable law.
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.
Candidates applying to job openings posted in US: All qualified applicants will receive consideration for employment without regard to race, color, religion, age, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.
Drug and Alcohol Policy
Wells Fargo maintains a drug free workplace. Please see our Drug and Alcohol Policy to learn more.