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Quantitative Finance Manager

3 months ago


Charlotte, North Carolina, United States Bank of America Full time

Quantitative Finance Manager

Jersey City, New Jersey;Charlotte, North Carolina

Job Description:

At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. Responsible Growth is how we run our company and how we deliver for our clients, teammates, communities and shareholders every day.

One of the keys to driving Responsible Growth is being a great place to work for our teammates around the world. We're devoted to being a diverse and inclusive workplace for everyone. We hire individuals with a broad range of backgrounds and experiences and invest heavily in our teammates and their families by offering competitive benefits to support their physical, emotional, and financial well-being.

Bank of America believes both in the importance of working together and offering flexibility to our employees. We use a multi-faceted approach for flexibility, depending on the various roles in our organization.

Working at Bank of America will give you a great career with opportunities to learn, grow and make an impact, along with the power to make a difference. Join us

Job Description:

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.

Counterparty Credit Risk Portfolio Management (CCRPM) team manages counterparty credit risk across the firm at both TOH and legal entity level, ensures compliance with regulatory requirements for Counterparty Credit Risk (CCR) Management and remediates regulatory requests around gaps identified in the CCR frameworks. The role will oversee managing various limits (Stress Gap, Contingent Market Risk), monitoring secondary risk factors, point of weakness analysis of the CCR portfolios, and reporting to internal stakeholders and regulators. The role entails measuring CCR for all lines of businesses in the Markets division covering all traded products (fixed income, currency, commodities, equities).

Responsibilities:

  • Develop and maintain risk analytics, secondary Points of Weakness measures to adequately support product and risks to client strategies, develop supplementary risk analysis based on material Risk ID.
  • Collaborate with Market Risk coverage to apply risk consistent approach.
  • Develop/maintain secondary limits and monitoring metrics required to support products.
  • Develop/enhance concentration and liquidity risk measurement frameworks for PE & Stress.
  • Interface with the Business lines, GMC, and ECR to develop/enhance margin models, work with GRA/MRM to obtain model validation. Establish governance, review and recalibration.
  • Monitor model performance for the asset class, challenge GRA to enhance models.
  • Represent CCR for product coverage as it relates to regulatory exams, addressing regulatory findings, presenting on special topics.
  • Perform 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.
  • Participate in constructing CCR portfolio reviews along with specialized deep dives on specific counterparties.
  • Present analysis to senior management, including Market Risk, Enterprise Credit and Enterprise Credit, as well as Front Office Sales and Trading.
  • In this capacity, the person will need to leverage their expertise in CCR and traded products to highlight areas that warrant additional investigation, monitoring and discussion.
  • The analysis will encompass a range of counterparty exposure management techniques such as potential future exposure, stress testing, sensitivity analysis, wrong way risk.
  • The person will assist in managing of counterparty concentration limits at the counterparty level across asset classes.

Minimum Education Requirement: Master's degree in related field or equivalent work experience

Skills:

  • Business Acumen
  • Critical Thinking
  • Regulatory Relations
  • Talent Development
  • Technical Documentation
  • Policies, Procedures, and Guidelines Management
  • Project Management
  • Risk Analytics
  • Risk Management
  • Stakeholder Management
  • Drives Engagement
  • Inclusive Leadership
  • Risk Modeling
  • Strategic Thinking
  • Written Communications

Shift:

1st shift (United States of America)

Hours Per Week:

40

Bank of America and its affiliates consider for employment and hire qualified candidates without regard to race, religious creed, religion, color, sex, sexual orientation, genetic information, gender, gender identity, gender expression, age, national origin, ancestry, citizenship, protected veteran or disability status or any factor prohibited by law, and as such affirms in policy and practice to support and promote the concept of equal employment opportunity and affirmative action, in accordance with all applicable federal, state, provincial and municipal laws. The company also prohibits discrimination on other bases such as medical condition, marital status or any other factor that is irrelevant to the performance of our teammates.

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Bank of America aims to create a workplace free from the dangers and resulting consequences of illegal and illicit drug use and alcohol abuse. Our Drug-Free Workplace and Alcohol Policy ("Policy") establishes requirements to prevent the presence or use of illegal or illicit drugs or unauthorized alcohol on Bank of America premises and to provide a safe work environment.

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This communication provides information about certain Bank of America benefits. Receipt of this document does not automatically entitle you to benefits offered by Bank of America. Every effort has been made to ensure the accuracy of this communication. However, if there are discrepancies between this communication and the official plan documents, the plan documents will always govern. Bank of America retains the discretion to interpret the terms or language used in any of its communications according to the provisions contained in the plan documents. Bank of America also reserves the right to amend or terminate any benefit plan in its sole discretion at any time for any reason.