Quantitative Finance Analyst

2 months ago

Jersey City, United States Bank of America 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

The AMGQS Markets Team is responsible for developing new champion loss forecasting models across the Fair Value portfolio in Global Banking and a diverse range of Economic and Regulatory Capital models. The team is further responsible for ongoing maintenance and upgrades to these models. In addition, the team is responsible for responding to new regulatory initiatives in the Global Markets business. This includes the development of the Default Risk Charge (DRC) portion of the Fundamental Review of the Trading Book (FRTB). The team has a requirement for a highly motivated Quantitative Finance Analyst to support the growing needs of the team across the Markets and Capital portfolio. The right candidate will be required to support the development of existing and new models, and work on ongoing performance monitoring, and will include working with Model Risk Management, Technology partners and business end-users. Opportunity also exists to provide innovative solutions to modelling and operational challenges across the growing number of regulatory use-cases in the teams' portfolio including ICAAP, CCAR and Climate.
• Required to pro-actively seek out effective statistical estimation techniques required to model Fair Value Options (FVO) and Economic/Regulatory Capital (EC/RC) business
• Pro-actively work with stakeholders across EC/RC and FVO to collect requirements and then develop and build modelling solutions to meet them
• Implement models using well written and well governed python code
• Produce clear and coherent technical documentation for internal and regulatory purposes
• Promote the adoption of, and personally meet, GRA best practices for model development, implementation and monitoring
• Critical to the role is to be able to think outside the box of current industry standards to develop innovative approaches to modelling problems

Required Skills:
• Highly numerical degree (Masters required; PhD level desirable) in Statistics, Financial Mathematics, Applied Mathematics, Economics, Physics or Engineering
• 2+ years of work experience in developing, documenting & maintaining risk and/or capital models and handling large datasets
• Technical skills: Statistics, Probability Theory, Econometrics, Financial Mathematics
• Strong programming skills; SQL, Python, VBA, Latex
• Strong technical writing and clear verbal communication skills
• Experience of, and ability to work under pressure and deliver to tight deadlines
• Ability to work independently, multitask and properly prioritize work
• Curiosity and willingness to develop and work on new ways of modelling

Desired Skills:
• Experiences in the areas of credit risk modelling, loss forecasting etc. preferred
• Knowledge of regulatory guidelines including CCAR, DFAST, CECL, ICAAP.
• Strong stakeholder engagement skills with an ability to work with colleagues in other functions (business, risk and model validation)
• Organized, practical and execution focused with some project management experience
• Self-motivated and intellectually curious about both the role, supporting technologies and the wider bank
• Experience with LaTeX

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 bank's 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: Master's degree in related field or equivalent work experience

Shift:
1st shift (United States of America)

Hours Per Week:
40

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