QFA Quantitative Finance Analyst

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. Were 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.
Responsibilities:
Performs 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
Supports the planning related to setting quantitative work priorities in line with the banks overall strategy and prioritization
Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
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:

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Overview of Global Risk Analytics

Bank of America Merrill Lynch has an opportunity for a Quantitative Finance Analyst within our Global Risk Analytics (GRA) function. GRA is a sub-line of business within Global Risk Management (GRM). GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard. GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks. In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities.

Overview of the Team

Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets.

This role sits within Market Risk Analytics Quant group (MRQ), which covers analytics and tools for all general market and specific risk models and methodologies subject to trading and banking books capital rules across Market Risk. Additionally, you will have the opportunity to gain experience across all areas covered including Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.

Overview of the Role

As a Quantitative Finance Analyst on Market Risk Analytics team, your responsibilities will involve:

Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation
Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements
Conduct analysis and verification on market data, risk metrics and P&L time series
Prepare developmental evidence and document to support internal and external exams
Perform analysis for VaR/RNiV model development, documentations/submissions and aid in addressing required action items raised by model risk management, issues from regulators, audit and model performance tests
Perform statistical analysis on market historical data and model parameters
Develop and support benchmarking and backtesting. Identify, analyze, explain any overages
Identify common themes across global markets along with improvement initiatives
Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
Support model development in confirming remediation of model issues prior to their being taken live

Position Overview

IF014 - Quantitative Finance Analyst (B5)

Responsible for independently conducting quantitative analytics and modeling projects. Responsible for developing new models, analytic processes or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.

Required Education, Skills, and Experience

Master's degree or PhD required (preferably background in Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science, or equivalent) and 2+ years experience
Working knowledge of risk or pricing models for fixed income or commodity products
Understanding of regulatory capital and risk management framework and stress testing requirement
Solid working experience in a related field (Market Risk, Middle Office)
Broad financial product knowledge
Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation
Experience in data analysis, with excellent research and analytical skills
Pro-active behavior with capacity to seize initiative
Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
Ability to multitask with excellent time management skills

Desired Skills and Experience
Past experience in IBOR transition / FRTB is a plus

Shift:
1st shift (United States of America)

Hours Per Week:
40
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