About this role:

Wells Fargo is seeking a Senior Securities Quantitative Analytics Specialist...

Finance brings together enterprise functions that drive Wells Fargo's financial management, including accounting and control, financial planning and analysis, line of business finance, asset-liability management, treasury, tax management, and the company's investment portfolios. They also inform shareholders, regulators, taxing authorities, employees, and leaders of the company's financial performance through earnings releases, investor meetings and conferences, and meetings with regulators and credit rating agencies, following appropriate reporting guidelines.

Investment Portfolio

The Wells Fargo Investment Portfolio (IP) manages the Company's Available-For-Sale (AFS) and Held-To-Maturity (HTM) securities and loan portfolios, and the Reinsurance and Bank Owned Life Insurance (BOLI) businesses as part of the Finance group. IP also provides strategic and analytical balance sheet support to the bank, as well as a centralized, street-facing trade execution and hedging function and centralized mortgage modeling for the enterprise. The Investment Portfolio consists of:

• Credit Investment Portfolio (CIP): Responsible for the evaluation of credit-driven investment opportunities across a broad spectrum of corporate notes, loans, Municipal bonds, CLOs, and other asset backed securities
• Macro Investment Portfolio (MIP): Responsible for maintaining a portfolio of fixed income investments to achieve liquidity, interest rate risk management, and capital management objectives on behalf of Corporate Asset/Liability Committee
• Trading: Street-facing trading desk with the ability to offer coordinated execution of all cash and derivatives trades for the portfolio, as well as for other key partners within Wells Fargo
• Reinsurance and Bank Owned Life Insurance (BOLI) businesses which consist of both life and annuity insurance contracts.
• Portfolio Strategy, Analytics, and Infrastructure (PSAI): Centrally manages IP's analytics, including stress testing, sensitivity analytics, and optimizing investment decision making within capital, liquidity, and risk management constraints
• Mortgage Modeling Center of Excellence (MMCOE): Centrally manages all quantitative modeling related to market and interest rate risk on the bank's mortgage products including consumer banking mortgage activities, trading activities and investment portfolio positions in mortgage products.
• Financial Forecasting & Reporting (FFR): Centrally manages income and balance sheet forecasting and portfolio level reporting.
• IP Business Management Office: Serves as a trusted advisor and aid in establishing business priorities for the portfolios and the teams, responsible for strategizing, planning, and executing a variety of services and initiatives on behalf of the portfolio executives and their respective teams. The team also leads implementation of enterprise driven initiatives in partnership with finance and enterprise business support partners.

The Mortgage Modeling COE is seeking skilled Senior Securities Quantitative Analytics Specialists. The Senior Mortgage Quant will be in charge of developing prepayment and default behavior models for agency and non-agency mortgages, and/or the development of mortgage pricing and risk models. This includes ongoing monitoring and research related to mortgage model performance and the all end implementation and testing of and research into the group's internal and vendor pricing models. Depending on experience and background, the candidate may focus on a subset of these areas. A successful candidate must have strong expertise in prepayment and default modeling and/or the development of mortgage pricing and risk models, as well as be familiar with Agency and Non-Agency Databases and be familiar with Residential Mortgage-Backed Securities (RMBS) valuation, OAS framework and risk analysis.

In this role, you will:

• Lead or participate in moderately complex initiatives and deliverables within Securities Quantitative Analytics
• Create cutting-edge derivative pricing models and / or empirical models to provide insight into market behavior of mortgage securities products

• Conducting ongoing maintenance and research on models for risk management of mortgage and fixed-income products
• Developing model performance metrics like statistical back tests or P&L explanation analysis

• Contribute to large-scale departmental planning
• Combine mathematical programming and market expertise to build and generate systematic strategies
• Review and analyze moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable factors
• Use quantitative and technological techniques to solve complex business problems
• Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
• Resolve moderately complex issues independently
• Lead team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
• Collaborate and consult with peers, colleagues, and mid-level managers to resolve issues and achieve goals
• Lead projects, teams, or serve as a mentor for less experienced staff
• Play an integral role to the trading floor

Required Qualifications, US:

• 4+ years of Securities Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Desired Qualifications:

• Experience in developing and tuning prepayment and default models
• Experience in mortgage pricing models, Intex, empirical duration models
• Experience with PolyPaths
• Demonstrated experience in handling mortgage database (1010/embs/loan performance/core logic)
• Solid understanding of statistics, financial mathematics and models including, OAS framework, Monte Carlo simulation, LMM model, (exotic) interest rate derivatives models and mortgage analytics
• Excellent demonstrated experience with Python/R and working knowledge of SAS or SQL and relational databases.
• Knowledge of and experience with C++, C# and / or Java.
• Ability to communicate across multiple audiences (Technology, Quants, Senior Management)
• An impeccable reputation for integrity, accuracy, consistency, big picture orientation and business acumen

Job Expectations:

• Ability to travel up to 10% of the time

**Position is open to relocation to either NYC or Charlotte**

Base Salary Range:

New York City, NY $138,500 - $287,600

Charlotte, NC $120,400 - $250,000

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, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Candidates applying to job openings posted in Canada: Applications for employment are encouraged from all qualified candidates, including women, persons with disabilities, aboriginal peoples and visible minorities. Accommodation for applicants with disabilities is available upon request in connection with the recruitment process.