Quantitative Finance Analyst

Job Description

Job Description:

Responsible for independently conducting quantitative analytics and modeling projects. Responsible for developing new models, analytic processes or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.

Company Overview

Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the companys global banking and global markets businesses.

Business Overview

Bank of America is looking for multiple senior/junior quantitative finance analysts in the PPNR Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York, London and Charlotte. It covers all aspects of model validation and model risk of revenue forecasting models used within the organization, i ncluding the models for income from Card Operations, Investment Banking, ABS/RMBS/CMBS, FX/ETS/Corporate Banking.

Candidate will work closely with model developers from Quantitative Strategy Group and Global Risk Analytics, as well other groups within the Model Risk Management (MRM).

Responsibilities:

• Validate all PPNR models developed by Quantitative Strategy Group and Global Risk Analytics.

• Review the underlying assumptions, theory, conceptual soundness, derivation of the models, empirical evidence, calibration, implementation and limitations of the model being validated

• Perform independent testing to identify/quantify model risks associated with the models being validated

• Prepare validation report and technical documents for the model being validated

• Work closely with the business, other stakeholders 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

Required Skills:

• Masters or PhD in quantitative fields such as computational finance, mathematics, statistics or equivalent
• In depth understanding of statistical concepts and model development & validation processes
• 3 to 5 years experience in financial services industry building or validating models
• Familiar with SR11-07 and related requirements on model risk
• Well organized, detail-oriented with good communication skills (both written and verbal)
• Strong coding ability at least 2 of SAS, R , Python and C++

Shift:

Hours Per Week:

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