Quantitative Finance Analyst - Military Veterans
at Bank of America
Job Description:
At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. Responsible Growth is how we run our company and how we deliver for our clients, teammates, communities and shareholders every day.
One of the keys to driving Responsible Growth is being a great place to work for our teammates around the world. We're devoted to being a diverse and inclusive workplace for everyone. We hire individuals with a broad range of backgrounds and experiences and invest heavily in our teammates and their families by offering competitive benefits to support their physical, emotional, and financial well-being.
Bank of America believes both in the importance of working together and offering flexibility to our employees. We use a multi-faceted approach for flexibility, depending on the various roles in our organization.
Working at Bank of America will give you a great career with opportunities to learn, grow and make an impact, along with the power to make a difference. Join us!
Job Description:
Bank of America is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York and London. It covers all aspects of model validation and model risk management of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team XVA/CCR/IMM calculation for over-the-counter derivatives ranging across all asset classes from interest rates, FX, commodity, inflation, equity, credit and collateral modeling. Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
• Validate XVA/CCR/IMM system models and feeder models of bank's counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independently testing to identify/quantify model risk associated with the model being validated
• Prepare validation report and technical documents for the model being validated
• Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
• Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.
• Participate in MRM engagements with regulatory bodies
Minimum Education Requirement: Master's degree in related field or equivalent work experience, PhD preferred.
Required Qualifications:
• PhD in quantitative fields such as mathematics, statistics, physics or equivalent
• In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.
• Exceptional knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank's operations and regulatory requirements
• Expertise in IMM Basel Capital requirements and IMM CRR is a strong plus
• Strong coding ability in Python, R, C++ is a plus
• 5 years work experience is required in quantitative modelling and/or validation in CVA/CCR or derivative pricing models. Experience with counterparty modelling is a plus.
• Predisposed to critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)
Shift:
1st shift (United States of America)
Hours Per Week:
40
Chicago, IL
![Bank of America](https://rm-core-production.s3.amazonaws.com/logos/519/large_bofa_lo1_rgb_Digital__1_.png)
You’ve led troops, now help lead your community
As a leader in the military, you motivated troops to get the job done. We value your ability to influence change and encourage you to continue that influence here and in our communities. Our Military Affairs Team proudly supports veterans in our communities through education and volunteer events. Together, we can create better communities and a brighter future for us all.
First you fought for the American dream, now you can guide its future
You joined the military to protect a nation and its people. Let the same passion for making a difference lead you to a new career. At Bank of America, we’re proud that more than 6,800 veterans work for us. They’ve discovered that their desire to help others didn’t end with their service. Here, you’ll help our customers and clients connect to better financial lives.