Quantitative Finance Analyst

2 months ago

Jersey City, United States Boys and Girls Country of Houston Full time

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 modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

The Market Risk Quants (MRQ) team within Global Risk Analytics (GRA) organization is responsible for the development and enhancement of market risk models and analytical tools. The team's remit spans market risk models for internal risk management, market risk capital requirements for Internal Model Approach (IMA) approved Legal Entities within Basel 2.5 regulatory framework, and IMA and Standardized Approach (SA) for upcoming FRTB regulatory framework, stress testing such as CCAR, EST, ICAAP, Recovery and Resolution Planning, and Climate Risk.

As a quantitative model developer in MRQ team, you will be responsible for:

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

Develop model performance monitoring metrics such as benchmarking, backtesting 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.

Skills:

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

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

Required Qualifications:

Advanced degree in quantitative fields such as Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science,

2+ years of industry experience

Programming skills, preferably in Python, or equivalent object-oriented programming

Experience in or willingness to learn derivatives pricing and/or statistical analysis of financial data, time series information.

Desired Qualifications:

Experience in market risk models such as FRTB Standard Approach (SA), FRTB Internal Model Approach (IMA), Value at Risk (VaR), Risks Not in VaR (RNiV), and Stress Testing.

Attention to details and ability to analyze problems independently with intellectual curiosity.

Strong written and verbal communications.

Ability to deliver quality outcomes in a timely manner in a fast-paced environment.

Shift:

1st shift (United States of America)

Hours Per Week:

40

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