Senior Counterparty Credit Risk Modeling Manager

U.S. Bank

Senior Counterparty Credit Risk Modeling Manager developing exposure models at U.S. Bank.

Posted 5/5/2026full-timeNew York City • Illinois, Minnesota, New York • 🇺🇸 United StatesSenior💰 $170,255 - $200,300 per yearWebsite

Tech Stack

Tools & technologies

Python

About the role

Key responsibilities & impact

Research, design, develop, test, and support simulation‑based exposure models for derivatives trading, including advanced methodologies for measuring Potential Future Exposure (PFE) and Expected Exposure (EE).
Maintain and continuously monitor simulation and pricing models, including conducting backtesting on risk factors, trades, and portfolios.
Collaborate closely with derivatives trading desks, risk management teams, and technology partners to ensure business and technical requirements are effectively delivered.
Engage with internal review groups, including Model Validation and Internal Audit, as well as external stakeholders such as regulators (OCC and FRB), to support model review and approval processes.
Contribute clear and thorough documentation, and present complex modeling concepts to both technical and non-technical audiences.

Requirements

What you’ll need

Bachelor’s degree (MA/MS/PhD strongly preferred) and eight or more years of relevant experience.
Strong proficiency in at least one programming language such as C++ or Python, with a minimum of three years of hands-on experience.
Prior experience with RiskMetrics and equity derivatives modeling is required.
Deep knowledge of derivative products, financial markets, and key risk drivers, particularly within OTC and listed derivatives and securities financing transactions.
Demonstrated expertise in derivative pricing, Monte Carlo simulation techniques, and counterparty credit exposure modeling.
Excellent problem-solving and analytical skills, with strong written and verbal communication abilities.
Four or more years of experience leading a quantitative modeling team is a plus.

Benefits

Comp & perks

Healthcare (medical, dental, vision)
Basic term and optional term life insurance
Short-term and long-term disability
Pregnancy disability and parental leave
401(k) and employer-funded retirement plan
Paid vacation (from two to five weeks depending on salary grade and tenure)
Up to 11 paid holiday opportunities
Adoption assistance
Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law

ATS Keywords

✓ Tailor your resume

Applicant Tracking System Keywords

Tip: use these terms in your resume and cover letter to boost ATS matches.

Hard Skills & Tools

C++PythonRiskMetricsderivative pricingMonte Carlo simulationcounterparty credit exposure modelingsimulation-based exposure modelsPotential Future Exposure (PFE)Expected Exposure (EE)backtesting

Soft Skills

problem-solvinganalytical skillswritten communicationverbal communicationcollaborationdocumentationpresentation skillsleadership

Certifications

Bachelor’s degreeMAMSPhD