Financial Risk Quant Analyst

2 weeks ago

New York, New York, United States Bank of America Full time
Position: Financial Risk Quant Analyst

Location: Chicago, Illinois; Jersey City, New Jersey; New York, New York

Overview:

At Bank of America, our mission is to enhance financial well-being through meaningful connections.

We prioritize Responsible Growth, which shapes our operations and our commitment to clients, colleagues, communities, and shareholders.


We believe that fostering a supportive work environment is essential for our global team.

Our dedication to diversity and inclusion ensures that we welcome individuals from various backgrounds and experiences. We invest significantly in our employees and their families by providing competitive benefits that support their overall well-being. Bank of America values collaboration while also offering flexibility tailored to different roles within our organization.


Joining Bank of America means embarking on a rewarding career with opportunities for growth, learning, and making a significant impact.


Role Description:
We are seeking a Financial Risk Quant Analyst to join our Counterparty Model Risk Management team. This international team operates within Enterprise Model Risk Management, primarily located in major financial hubs.

The team is responsible for comprehensive model validation and risk management related to front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models, including Internal Method Models (IMM).

The role involves performing XVA/CCR/IMM calculations for over-the-counter derivatives across various asset classes, including interest rates, FX, commodities, inflation, equity, credit, and collateral modeling.

The successful candidate will collaborate closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management teams.


Key Responsibilities:
  • Validate XVA/CCR/IMM system models and feeder models developed by the Quantitative Strategy Group and Global Risk Analytics across all asset classes.
  • Review the foundational assumptions, theoretical frameworks, empirical evidence, implementation strategies, and limitations of the models being validated.
  • Conduct independent testing to identify and quantify model risk associated with the validated models.
  • Prepare detailed validation reports and technical documentation for the models.
  • Engage with model stakeholders, including business units, Market Risk, Finance/PVG, and other control functions, regarding compensating controls and validation outcomes.
  • Maintain a sub-portfolio of model inventory and conduct annual reviews, ongoing monitoring, and closure of required action items.
  • Participate in Model Risk Management engagements with regulatory authorities.

Minimum Education Requirement:
Master's degree in a related field or equivalent work experience; PhD preferred.

Required Qualifications:
  • PhD in quantitative disciplines such as mathematics, statistics, or physics.
  • In-depth knowledge of financial mathematics, including stochastic calculus and probability theory, as well as derivative pricing and risk models.
  • Exceptional understanding of financial derivatives, OTC trading, collateral management, capital management, and regulatory requirements.
  • Expertise in IMM Basel Capital requirements is a significant advantage.
  • Strong programming skills in Python, R, or C++ are beneficial.
  • A minimum of 5 years of experience in quantitative modeling and/or validation of CVA/CCR or derivative pricing models.
  • Strong analytical skills, intellectual curiosity, attention to detail, organizational abilities, and effective communication skills.

Shift:
1st shift (United States of America)

Hours Per Week:
40

Bank of America is committed to creating a workplace free from discrimination and harassment. We promote equal employment opportunities and affirmative action in accordance with applicable laws.

We also maintain a Drug-Free Workplace and Alcohol Policy to ensure a safe working environment.

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