This role pays more than
96%
of similar roles. Most pay
$145,645–$220,900
— the shaded band above.
At the midpoint, this role pays about
$285k
versus about
$183k
for comparable roles.
Based on 240 similar postings.
Employer
About Wells Fargo
Wells Fargo & Company is one of the largest banks in the United States, providing banking, investment, mortgage, and consumer and commercial finance products and services nationwide. Industry: Banking & Financial Services
Wells Fargo currently has
33 open roles
on FindRole.
Listed pay typically runs
$159,000–$260,000
across 13 roles with salary data.
Senior Lead Structured Products VaR Quant will join the Mortgage Modeling Development Center within the Investment Portfolio team. This role involves leading the development, enhancement, implementation, and production readiness of regulatory Value at Risk (VaR) and related market risk models for structured products, including Agency and Non-Agency RMBS, Non-RMBS, and other securitized products. The individual will design, implement, back test, and benchmark pricing, OAS, prepayment, default, spread, volatility, scenario, and risk sensitivity analytics to support VaR, stress testing, and P&L attribution. Key responsibilities include translating regulatory requirements into quantitative specifications and serving as a technical advisor on complex securities analytics. The role requires proficiency in Python or C++ and expertise in Basel 2.5, Basel III/3.0, and FRTB frameworks to solve critical risk measurement problems for the bank's mortgage and securitized product portfolios.
Lead the design, development, and implementation of regulatory Value at Risk (VaR) models for structured products.
Develop pricing, OAS, prepayment, default, spread, and volatility analytics to support risk measurement and stress testing.
Analyze market data, pricing inputs, and backtesting results to ensure model defensibility and accuracy.
Translate complex regulatory and business requirements into quantitative specifications and production monitoring frameworks.
Serve as a senior technical advisor on model design choices, architecture, and risk factor coverage.
Communicate model assumptions, limitations, and results to internal stakeholders and external regulators.
Develop high-performance, production-ready analytics using Python or C++ for the investment portfolio.
What we're looking for
7+ years of experience in securities quantitative analytics, market risk model development, financial engineering, or equivalent experience.
7+ years of experience developing, implementing, or enhancing regulatory VaR models and related market risk analytics for fixed income, mortgages, or derivatives.
7+ years of programming experience in Python, C++, or comparable production-oriented quantitative programming languages.
Master’s degree or PhD in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, finance, or computer science (preferred).
7+ years of experience developing, implementing, validating, or supporting regulatory market risk models including VaR, expected shortfall, and P&L attribution (preferred).
5+ years of structured products analytics experience across RMBS, Agency/Non-Agency mortgages, CMBS, CLO, ABS, CRT, CMO, ARMs, or other securitized products (preferred).
Demonstrated ability to work constructively across business, model development, validation, risk management, and technology teams.
Strong senior-level communication and leadership skills to explain complex models and results to stakeholders and regulators.
Python
C++
SQL
Java
Monte Carlo methods
Differential equations
Linear algebra
Applied probability
Statistics
Generative AI
Data Analysis
Modeling
Software Engineering
Data Management
Quantitative Analytics
Python
C++
R
Machine Learning
Time-Series Analysis
Monte Carlo Simulation
Conformal Prediction
Feature Engineering
Model Risk Management
Econometrics
Statistical Learning
Hyperparameter Tuning
Exploratory Data Analysis