Sr. Quantitative Finance Analyst

Bank of America•Chicago, IL

13d•Onsite

About The Position

This job is responsible for conducting quantitative analytics and complex modeling projects for specific business units or risk types. Key responsibilities include leading the development of new models, analytic processes, or system approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations may include the ability to influence strategic direction, as well as develop tactical plans. Global Risk Analytics (GRA) is a sub-line of business within Global Risk Management (GRM). GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective Risk and Capital measurement, management and reporting across Bank of America. In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. The team drives innovation, process improvement and automation across all of these activities. Overview of the Team – The Global Markets Risk Analytics (GMRA) team under GRA 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). GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets. This role sits within Market Risk Quants (MRQ) team under GMRA. MRQ team’s remit spans market risk models for internal risk management, market risk capital requirements for Internal Model Approach (IMA) approved Legal Entities within Basel 2.5 regulatory framework, and IMA and Standardized Approach (SA) for upcoming Fundamental Review of the Trading Book (FRTB) regulatory framework, stress testing such as CCAR, EST, ICAAP, Recovery and Resolution Planning, and Climate Risk. Overview of the Role - The position provides an excellent opportunity for a Market Risk Quant to be at heart of BoFA’s model development for global trading activities. In this role the successful candidate will be responsible for critical regulatory deliverables involving complex market risk models. The role will require high degree of motivation and energy as well as high technical/analytical competencies to develop and enhance the firm’s critical market risk models. Position Overview - As a senior quantitative finance analyst in MRQ team, you will be responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes, or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

Requirements

PhD (preferred) or master’s degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
Solid 5+ years of work experience in developing FO pricing models or market risk models
Advanced programming skills in Python with 5+ years of experience
Solid understanding of derivatives pricing
In depth understanding of Value at Risk and statistical estimation methods
Strong communication (both written and verbal) and collaboration skills (this project involves communicating with various groups within the firm)
Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues

Nice To Haves

Work experience in FRTB
Experience in large scale model platform implementation in collaboration with other teams
Strong Operational Excellence mindset
Effective organizational skill.

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
Leads 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
Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
Leads and provides 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
Develop and enhance quantitative risk models, analytics, and applications in support of market risk assessment and regulatory capital calculation in current Basel 2.5 (e.g., VaR, Stressed VaR, Risks Not in VaR) and/or upcoming FRTB (e.g., Standard Approach, Expected Shortfall, Non-modellable risk factor, Risks Not in Model) regulatory framework
Develop and enhance quantitative risk models, analytics and applications for the firm’s Stress Testing including CCAR
Conduct analysis for implementation of market risk models in strategic model platform.
Develop model performance monitoring metrics such as benchmarking, back-testing as part of continuous efforts to identify and remediate potential model weakness
Closely work with Global Markets Risk (GMR) and Front-Line Units (FLU) trading desks for internal risk management, Enterprise Capital Management (ECM) for market risk capital requirements, technology partners for model implementation, front-office pricing model quant developers, and Model Risk Management (MRM) for model risk oversight
Perform quantitative analysis in preparation of exams, regular dialogues with supervisory regulators across the globe.