Sr. Quantitative Finance Analyst

Bank of America • Jersey City, NJ

2d • Onsite

About The Position

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

The role independently conducts quantitative analytics and complex modeling projects. It leads development of new and existing models, helps resolve modeling issues involving new products, and supports model governance through documentation, testing, and monitoring. The analyst also works with technology staff on systems for running models and integrating new code.

The work includes quantitative modeling of fixed-income and/or commodity products for a global financial institution and collaboration with internal partners such as Capital, Risk, Technology, Model Risk Management, and Market Risk Management. The role supports model users and model platforms, contributes to performance assessment and infrastructure improvements, prepares evidence for internal and external examinations, and communicates analysis to stakeholders including senior management and regulators.

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 communicate technical concepts clearly in written and spoken English.
• Programming skills in C++ and Python.
• Solid understanding of sound software development principles.
• Ability to multitask and manage time effectively.
• Focus and rigor in completing deliverables.
• Proactive approach and capacity 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 the 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, and aggregation models, as well as backtesting methodologies.
• 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 analysis 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 models are taken live.
• Drive incremental improvement to model performance assessment tools across business areas.
• Work with technology staff to design systems for running developed models and integrating new code.
• Support model governance activities, including documentation, testing, and monitoring.

Benefits

• Industry-leading benefits.
• Access to paid time off.
• Resources and support for employees’ physical, emotional, and financial wellness.
• Annual discretionary incentive plan eligibility.

What This Job Offers

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