Quant II - Capital Markets Risk at Fifth Third Bank (Cincinnati, OH)

| Cincinnati, OH
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GENERAL FUNCTION:

The Quant II - Capital Markets Risk will be a member of the Capital Markets Risk Management (CMRM) 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 fixed income broker-dealer activities. 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 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, R, Python, 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 Credit Risk Management, Model Risk Management, Compliance, Audit, 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 on FRM side. 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, work with the Audit and Model Validation teams and external validators 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.
  • Maintain/enhance documentation of policies and procedures, assist in the documentation of relevant technical items.
  • Use quantitative skills to analyze market and credit risk, and model potential outcomes to identify and/or mitigate risks.
  • Take ownership of workflow 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.
  • Assist in these activities as it relates to FRM business:
    • Development, implementation, maintenance, and reporting of credit risk metrics. including potential future exposure (PFE), Credit Value Adjustment (CVA), etc.
    • Maintain and implement complex valuation and stochastic simulation models (Hull White 2 Factor, PCA).
    • Assist in adhering to Federal Reserve SR 11-10; build models to optimize hedges of counterparty bank exposures.

#LI-GM1

SUPERVISORY RESPONSIBILITIES: None.

MINIMUM KNOWLEDGE, SKILLS, AND ABILITIES REQUIRED:
  • Undergraduate degree (advanced degree preferred) in quantitative analytics, economics, engineering, finance, mathematics, or other quantitative- 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 analytical finance is desired.
  • Proficient in MS Excel and MS Office suite. Possess strong programming abilities and demonstrated experience in platforms like Excel/VBA, Python, R, etc.
  • Demonstrate curiosity and initiative to learn, develop skills, seek feedback, and improve existing processes and reporting to add value for management.
  • A path to achieving FRM, CFA, or equivalent professional designation preferred.
  • Working knowledge of the "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, etc. preferred.
  • Exposure to pricing and risk systems such as Openlink, Adaptiv Analytics, Bloomberg, etc. with hands on experience in resolving day to day issues is desired.
  • Demonstrated ability to understand complex issues and develop meaningful analyses and share recommendations in clear, effective fashion to senior management and other business partners.


Quant II - Capital Markets Risk

LOCATION -- Cincinnati, Ohio 45202

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.
More Information on Fifth Third Bank
Fifth Third Bank operates in the Fintech industry. The company is located in Cincinnati, OH. Fifth Third Bank was founded in 2022. It has 20258 total employees. It offers perks and benefits such as Flexible Spending Account (FSA), Disability Insurance, Dental Benefits, Vision Benefits, Health Insurance Benefits and Life Insurance. To see all 137 open jobs at Fifth Third Bank, click here.
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