Sr. Quantitative Finance Analyst

Bank of America • Jersey City, NJ

1d

About The Position

The Sr. Quantitative Finance Analyst will work in Bank of America’s Global Risk Analytics organization, within the Global Markets Risk Analytics Counterparty Credit Risk Analytics Quant team. 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, leads the development and enhancement of models, supports the resolution of modeling issues and new products, and contributes to model governance through documentation, testing, and monitoring. The analyst also works with technology staff on systems for running models and integrating new code.

The position involves quantitative modeling for fixed-income and/or commodity products at a global financial institution. It supports the counterparty credit risk platform, improves model-development infrastructure, and partners with Capital, Risk, Technology, Model Risk Management, and Market Risk Management. The analyst prepares evidence and documentation for internal and external examinations, communicates analysis to stakeholders including senior management and regulators, and helps verify remediation of model issues before changes go live. The role is based at the listed Jersey City, New Jersey and New York, New York locations; Bank of America describes its culture as in-office, with flexibility based on role responsibilities and business needs.

Requirements

• Master’s degree or PhD, preferably in Mathematics, Physics, or a related field.
• At least 5 years of experience working in quantitative modeling on behalf of a global financial institution.
• Experience with mathematically sophisticated financial modeling for pricing or counterparty risk.
• Ability to express 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 demonstrate excellent time-management skills.
• Focus and rigor in completing deliverables.
• Proactive behavior 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.
• Good written and oral communication, interpersonal, and organizational skills, and ability to build and maintain relationships with personnel 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 models, pricing models, aggregation models, 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 for fixed-income and/or commodity products on behalf of a global financial institution.
• Prepare developmental evidence and documentation to support internal and external examinations.
• Identify common themes across global markets and recommend 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 are taken live.
• Drive incremental improvements to model performance assessment tools across business areas.
• Work with technology staff to design systems for running models and integrating newly developed code.

Benefits

• Industry-leading benefits.
• Access to paid time off.
• Resources and support for employees.
• Eligible to participate in the annual discretionary incentive plan, with awards based on individual performance and behaviors, line-of-business or group performance and contributions, and overall company success.

What This Job Offers

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