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Market Risk Cons 3 - ALM Risk Investment Portfolio

Company: Wells Fargo
Location: Mc Lean
Posted on: February 15, 2019

Job Description:

Job Description
At Wells Fargo, we want to satisfy our customers' financial needs and help them succeed financially. 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.The ALM Risk team is part of WFC's Market and Counterparty Risk group which provides Independent Risk Management under the direction of the Company's Chief Risk Officer. ALM Risk provides governance and oversight for two front-line risk-taking groups, namely Corporate ALM and WFC's Investment Portfolio.We have multiple opportunities that will report to the Corporate Functional Model Oversight (CFMO) team lead for Investment Portfolio under the ALM Risk Analytics team, focusing on OCI and OTTI models, as well as Municipal and other Callable Products models. The IP CFMO team covers investment portfolio risk, including review and challenge of model assumptions, approaches and analyses used to measure and produce OCI, OTTI, RWA, and IP hedge effectiveness as well as stress test projections for CCAR. It also covers the balance and net interest income (NII) forecasting of the Investment Portfolios, part of the PPNR in CCAR process. This role will provide CFMO and SME oversight for models and tools used in the investment portfolio, including model performance monitoring, model validation, assumptions and management judgement. This position will actively partner with IP Portfolio Strategy & Analytics, Corporate Model Risk, and Modeling Centers of Excellence (COEs). Specific responsibilities of this position include, but are not limited to:

  • Provide ongoing oversight and challenge of the Investment Portfolio (IP) models, tools and assumptions used in the measurement and management of OCI/OTTI, Balance/NII forecast, and RWA
  • Be part of Corporate Functional Model Oversight (CFMO) team to fulfill such duties for Investment Portfolio as required by Corporate Model Risk Policy and ALM Model Standards.
  • Work with other CFMO areas and CMoR to update and enhance Model Risk Management Policy and BBO Model Standard.
  • Serve as subject matter expert and provide ongoing oversight of models and forecasting approaches utilized in OCI/OTTI risk measurement and stress testing projections, Balance and NII forecasting.
  • Develop independent insights into key assumptions and management judgment used in base and stress scenarios in CCAR.
  • Work closely with other Investment Portfolio Risk Oversight team member to provide quantitative assessment and impact study on alternative assumptions.
  • Maintain appropriate stature and relationship with the IP Portfolio Strategy & Analytics, business line teams, and model developers/owners to effectively facilitate discussions and resolve issues.
  • Participate as needed in regulatory meetings, audit and other management discussions around oversight of IP models.
  • Participate in periodic reporting of oversight activities to management, regulators, and other risk groups.
  • Collaborate with partners in second line and first line risk teams in oversight of OCI, OTTI, RWA, IP hedge effectiveness, Balance and NII forecasting models and processes.

    Required Qualifications
    • 3+ years of experience in one or a combination of the following: trading, desk analyst, or capital markets

      Desired Qualifications
      • Intermediate Microsoft Office skills
      • Strong analytical skills with high attention to detail and accuracy
      • Excellent verbal, written, and interpersonal communication skills

        Other Desired Qualifications
        • Advanced Degree in Math, Statistics, Economics, Finance or similar major
        • Experience with model risk oversight and/or usage
        • Strong knowledge and experience with OCI/OTTI/PPNR modeling and risk measurement
        • Experience in fixed income securities markets and strong knowledge in callable and structured products
        • Experience with QRM and/or PolyPaths is a plus
        • Advanced Excel spreadsheet skills
        • Knowledge on capital market risk modeling approaches and pricing models
        • Knowledge of statistical analyses as well as other/non-modeled forecasting methodologies
        • Dedicated, highly motivated team player with ability to thrive in a demanding environment
        • Strong organizational, multi-tasking, and prioritizing skills


          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.

          Keywords: Wells Fargo, Washington DC , Market Risk Cons 3 - ALM Risk Investment Portfolio, Other , Mc Lean, DC

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