Sr. Quantitative Finance Analyst

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Overview of Global Risk Analytics - Global Risk Analytics (GRA) is a sub-line of business within Global Risk Management (GRM). It is responsible for developing a consistent and coherent set of models, analytical tools, and tests for effective risk and capital measurement, management, and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure the capabilities it builds address both internal and regulatory requirements, and is responsive to the changing nature of portfolios, economic conditions, and emerging risks. In executing its activities, GRA drives innovation, process improvement and automation.

Overview of the Team - Global Markets Risk Analytics (GMRA) team is responsible for developing, maintaining, and monitoring Counterparty Credit Risk (CCR), the Internal Model Method (IMM), Central Clearing Counterparties (CCP), and Value at Risk (VaR) models. GMRA develops tools to support regulatory, audit, and internal risk management needs for Global Markets. The GMRA team has a rich pool of diverse talent with quantitative and qualitative skillsets. The team Partners with Front Office, Risk Management, Finance and Technology.

This role sits within the Counterparty Credit Risk Analytics Quant (CCRAQ) team that provides, maintains, and monitors models, data, and tools related to counterparty credit risk (CCR) traded exposures, including models focused on generating PFE and IMM RWA for derivative portfolios, using Monte Carlo simulations.

Overview of the Role:

Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models and existing models, supporting the resolution of new modeling issues, or products and the model governance process (including documentation, testing, monitoring). Work with technology staff in design of any system to run models developed, or integration of new code developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

As a Sr Quantitative Finance Analyst your main responsibilities will involve:

• Development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as backtesting methodology
• Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.
• Improvements to model development infrastructure, such as test harnesses, support utilities, visualization tools
• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements.
• Work in quantitative modelling on fixed income and/or commodity products on behalf of a global financial institution
• Prepare developmental evidence and document to support internal and external exams
• Identifying common themes across global markets along with improvement initiatives
• Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Supporting model development in confirming remediation of model issues prior to their being taken live
• Driving incremental improvement to our model performance assessment tool set across all business areas

Required Education, Skills, and Experience:

• Master's degree or PhD required (preferably in Mathematics, Physics or related field) and 5+ years’ experience working in quantitative modelling on behalf of a global financial institution.
• Experience with mathematically sophisticated financial modelling, for pricing or counterparty risk
• Ability to express technical concepts clearly in written and spoken English
• Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles
• Ability to multitask with excellent time management skills
• Sense of focus and rigor in the completion of deliverables
• Pro-active behavior with capacity to seize initiative

Desired Skills and Experience:

• Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles.
• Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
• Experience working on CVA or with IMM framework.

Skills:

• Critical Thinking
• Quantitative Development
• Risk Analytics
• Risk Modeling
• Technical Documentation
• Adaptability
• Collaboration
• Problem Solving
• Risk Management
• Test Engineering
• Data Modeling
• Data and Trend Analysis
• Process Performance Measurement
• Research
• Written Communications

Shift:

Hours Per Week: