Quantitative Finance Analyst

Bank of America•Jersey City, NJ

2d•Onsite

About The Position

At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. We do this by driving Responsible Growth and delivering for our clients, teammates, communities and shareholders every day. Being a Great Place to Work is core to how we drive Responsible Growth. This includes our commitment to being an inclusive workplace, attracting and developing exceptional talent, supporting our teammates’ physical, emotional, and financial wellness, recognizing and rewarding performance, and how we make an impact in the communities we serve. Bank of America is committed to an in-office culture with specific requirements for office-based attendance and which allows for an appropriate level of flexibility for our teammates and businesses based on role-specific considerations. At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us! Job Description: This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products. Overview of Enterprise Independent Testing and Global Risk Analytics - Global Risk Analytics (GRA) and Enterprise Independent Testing (EIT) are sub-lines of business within Global Risk Management (GRM). Collectively, they are 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 and EIT partner with the Lines of Business and Enterprise functions to ensure the capabilities it builds address both internal and regulatory requirements, and are responsive to the changing nature of portfolios, economic conditions, and emerging risks. In executing its activities, GRA and EIT drive innovation, process improvement and automation. Overview of the Team: Global Markets Risk Analytics (GMRA) is part of GRA. It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets. 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) of traded products, including models focused on both bilateral counterparty and central counterparty clearing (CCP) risk. CCRAQ supports the Credit Risk and Wholesale communities in understanding the risk drivers of material changes in model outputs. Position Overview: 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. As a 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. 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

Requirements

Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field) and 2+ years’ experience working in quantitative modelling on fixed income or commodity products on behalf of a global financial institution.
Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA
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
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
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
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

Responsibilities

Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization
Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
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.
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

Benefits

Pay range $89,800.00 - $153,300.00 annualized salary, offers to be determined based on experience, education and skill set.
Discretionary incentive eligible This role is eligible to participate in the annual discretionary plan. Employees are eligible for an annual discretionary award based on their overall individual performance results and behaviors, the performance and contributions of their line of business and/or group; and the overall success of the Company.
Benefits This role is currently benefits eligible. We provide industry-leading benefits, access to paid time off, resources and support to our employees so they can make a genuine impact and contribute to the sustainable growth of our business and the communities we serve.

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