- Microsoft Office
- Visual Basic
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The Quant II – Capital Markets Risk will be a member of the Capital Markets Risk Management Team that is responsible for the management of market and liquidity risk related to Fifth Third’s Capital Markets activities. These activities include the Financial Risk Management (“FRM”) business that provides foreign exchange, commodity and interest rate derivatives to corporate clients, loan trading, and trading and origination activities within Fifth Third Securities that primarily include municipal and corporate bonds, agency securities and certificates of deposit. The team is responsible for implementation of the Federal Reserve’s Market Risk Rule (“MRR”) that establishes regulatory capital requirements and sets out certain key market risk measurement and management requirements, including the need for calculating Value-at-Risk (VaR), Stressed VaR (SVaR) for each covered position, stress testing, back testing and independent market risk management. This team is also partners with the Line of Business to assist with providing anticipatory/forward looking risk management. Given that the FRM business substantially offsets the risk of client related transactions with major financial institutions or exchange traded transactions, credit intermediation is a major portion of the business model. As a result, the team also takes the lead on credit measurement methodology, and provides reporting and risk mitigation recommendations and scenario analysis related to credit risk.
Quant II- Capital Markets Risk will manage or assist with a defined process and/or procedures and prepare regular reporting with a reasonable amount of independence and will participate in identifying and resolving problems but will refer more complex problems to supervisors and other experts. The position requires quantitative skills and application of that knowledge to Capital Markets products. This role will also require the ability to gain and retain working knowledge of Fifth Third Bank’s systems and knowledge of how those systems interact with each other. The fast pace of change that occurs in Capital Markets requires the ability to leverage tools like Excel/VBA, Python, SAS, SAP Business Objects, Tableau, etc. to meet the demands of Senior Management in a timely manner. The position requires collaboration with the Capital Markets and Commercial lines of businesses and related Business Controls, Credit Risk Management, Compliance, Audit, Model Risk Management, ERM, Finance, IT & Operations staff as well as with Regulatory Authorities.
ESSENTIAL DUTIES & RESPONSIBILITIES:
Working under the guidance of more senior team members and a manager, assume responsibility for the risk (market and/or credit risk) oversight process, analysis and reporting for select Capital Markets activities. Prepare reports and analysis for management’s daily consumption as well as monthly or quarterly governance meetings. May assist more junior team members in areas of acquired expertise.
Reinforce knowledge of the core functions of a commercial bank, including the Capital Markets & Commercial Banking business, and enhance the understanding of financial concepts, fixed income and derivative products and markets, and corporate banking products.
Assist Senior Quants to ensure compliance with the MRR and associated market risk measurement and management requirements, including calculating Value-at-Risk (VaR) and Stressed VaR (SVaR), stress test, backtesting, etc.
Use quantitative skills to analyze market and credit risk, and model potential outcomes to identify and/or mitigate risks
Take ownership of work flow or process change and redesign, while being accountable for consistent quality control, accuracy, and compliance with internal policies and regulatory requirements for reporting processes under ownership. Maintain/enhance documentation of policies and procedures.
Work with the Audit and Model Validation teams and external validators to comply with the Market Risk Rule and other related exams. Assist in the documentation of technical items relevant for review.
If assigned responsibility to the Financial Risk Management Business may be part of a team involved in the following activities:
Assist in development, implementation, maintenance, and reporting of credit risk metrics including potential future exposure (PFE), exposure at default (EAD), Credit Value Adjustment (CVA), etc.
Maintain and implement complex valuation and stochastic simulation models (Hull White 2 Factor, PCA, Black-Scholes and variations, Gabillon, etc.)
Assist in enhancing the valuations and risk metrics of exotic and structured products, cross currency swaps etc
Assist in adhering to Federal Reserve SR 11-10; build models to optimize hedges of counterparty bank exposures
SUPERVISORY RESPONSIBILITIES: None
MINIMUM KNOWLEDGE, SKILLS, AND ABILITIES REQUIRED:
Undergraduate degree (advanced degree preferred) in quantitative analytics, economics, engineering, finance, mathematics, or other quantitative risk- or finance-related field with a demonstrably strong academic record
Minimum of two to four years of relevant work experience; a graduate degree may replace some work experience
Prior experience with Capital Markets trading products or prior banking or analytical finance experience is desired
A path to achieving FRM, CFA, or equivalent professional designation preferred
Working knowledge of the Federal Reserve Market Risk Rule is a distinct advantage
Working knowledge of market and/or credit risk management techniques such as xVA, VaR, SVaR, CVA, back-testing, stress testing, potential future exposure, exposure at default, etc.
Working knowledge of commercial credit risk (Moody’s Analytics, credit default swaps, default probabilities, recovery rates, etc.) is a plus.
Proficient in MS Excel and MS Office suite. Possess very strong programming abilities and demonstrated experience in platforms like Excel/VBA, Python, Matlab, R, SAS, Tableau, SAP Business Objects, etc.
Demonstrated ability to understand complex issues and develop meaningful analyses and recommendations to executive management, Credit Risk, Model Risk Management and other Risk colleagues, the LOB, and internal audit teams is vital
Exposure to pricing and risk systems such as Openlink, QRM, WallStreet Systems, Numerix, Adaptiv, Summit, Bloomberg, Moody’s, IBIS, etc. with hands on experience in resolving day to day issues
Demonstrate curiosity and initiative to learn, develop skills, seek feedback, and improve existing processes and reporting to add value for management
Prior evidence of leadership experience is desired
Quant II – Capital Markets Risk
LOCATION - Cincinnati, Ohio 45263
Fifth Third Bank, National Association is proud to have an engaged and inclusive culture and to promote and ensure equal employment opportunity in all employment decisions regardless of race, color, gender, national origin, religion, age, disability, sexual orientation, gender identity, military status, veteran status or any other legally protected status.
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