Sr. Quantitative Finance Analyst

Bank of America • Jersey City, NJ

3d • $125,000 - $210,000 • Onsite

About The Position

The Sr. Quantitative Finance Analyst works within Bank of America’s Global Markets Risk Analytics Counterparty Credit Risk Analytics Quant team. The team provides, maintains, and monitors models, data, and tools for traded counterparty credit risk exposures, including models that generate potential future exposure (PFE) and IMM risk-weighted assets (RWA) for derivative portfolios using Monte Carlo simulations.

The role independently conducts quantitative analytics and complex modeling projects, leads development of new and existing models, supports resolution of modeling issues and new product requirements, and contributes to model governance through documentation, testing, and monitoring. The analyst works with technology staff on systems used to run models and on integration of new code, and partners with Capital, Risk, Technology, Model Risk Management, and Market Risk Management.

The position focuses on quantitative modeling for fixed income and/or commodity products at a global financial institution. It also supports the counterparty credit risk platform, model performance assessment, remediation of model issues, and communication of analysis to stakeholders, senior management, and regulators. Bank of America describes its culture as inclusive and collaborative, with an in-office approach and role-specific flexibility.

Requirements

• Master's degree or PhD, preferably in Mathematics, Physics, or a related field.
• At least 5 years of experience working in quantitative modeling for a global financial institution.
• Experience with mathematically sophisticated financial modeling for pricing or counterparty risk.
• Ability to clearly communicate technical concepts in written and spoken English.
• Programming skills in C++ and Python and a solid understanding of sound software development principles.
• Ability to multitask and manage time effectively.
• Focus and rigor in completing deliverables.
• Proactive approach and ability to take initiative.

Nice To Haves

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

Responsibilities

• Develop, test, document, and maintain counterparty credit risk models, including risk factor simulation, pricing, aggregation, and backtesting methodology.
• Support the counterparty credit risk platform by investigating and resolving model-related system issues and providing quantitative support to model users.
• Improve model development infrastructure, including test harnesses, support utilities, and visualization tools.
• Partner with Capital, Risk, Technology, Model Risk Management, and Market Risk Management on model enhancements, performance testing, and documentation to address internal and external requirements.
• Conduct quantitative modeling on fixed income and/or commodity products for a global financial institution.
• Prepare developmental evidence and documentation to support internal and external examinations.
• Identify common themes across global markets and propose improvement initiatives.
• Communicate analytical results to model stakeholders, including risk management, model development, model risk, senior management, and regulators.
• Support model development in confirming remediation of model issues before they go live.
• Drive incremental improvements to model performance assessment tools across business areas.

Benefits

• Paid time off.
• Access to employee resources and support.
• Eligibility to participate in an annual discretionary incentive plan, with awards based on individual performance and behaviors, business or group performance and contributions, and overall company success.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior