Senior Quantitative Finance Analyst

Bank of America•Jersey City, NJ

17h•Onsite

About The Position

At Bank of America, the purpose is to help make financial lives better through Responsible Growth, delivering for clients, teammates, communities, and shareholders. The company is committed to being an inclusive workplace, attracting and developing talent, supporting wellness, recognizing performance, and making community impact. Bank of America maintains an in-office culture with specific attendance requirements, allowing for flexibility based on role-specific considerations. This role 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, and collaborating with Technology staff on system design. The role also involves influencing strategic direction and developing tactical plans. The position is within the Global Markets Risk Analytics (GMRA) team, which is part of Global Risk Analytics (GRA) and Enterprise Independent Testing (EIT) under Global Risk Management (GRM). GMRA 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), as well as developing analytical tools for regulatory, audit, and internal risk management needs. This specific role sits within the Market Risk Quants (MRQ) team under GMRA, whose remit covers market risk models for internal risk management, market risk capital requirements for Internal Model Approach (IMA) under Basel 2.5, and IMA and Standardized Approach (SA) for the upcoming Fundamental Review of the Trading Book (FRTB) regulatory framework, as well as stress testing (CCAR, EST, ICAAP, Recovery and Resolution Planning, and Climate Risk). This is an excellent opportunity for a Market Risk Quant to be central to BoFA’s model development for global trading activities, involving critical regulatory deliverables and complex market risk models, requiring high motivation, energy, and strong technical/analytical competencies.

Requirements

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
Master’s degree in related field or equivalent work experience
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
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

Conduct quantitative analytics and complex modeling projects for specific business units or risk types.
Lead the development of new models, analytic processes, or system approaches.
Create technical documentation for related activities.
Work with Technology staff in the design of systems to run models developed.
Influence strategic direction, as well as develop tactical plans.
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.

Benefits

Industry-leading benefits
Access to paid time off
Resources and support to employees
Eligible to participate in the annual discretionary plan (annual discretionary award based on individual performance, line of business/group performance, and overall company success)

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