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Quantitative Finance Analyst

Company: Bank of America Corporation
Location: New York
Posted on: October 12, 2018

Job Description:

Job Description: Global Risk Analytics group at Bank of America Merrill Lynch is seeking a quantitative finance analyst to join our Global Market Risk Analytics team. The team's primary responsibility includes (but not limited to) developments, improvements, and maintenance of initial margin models and VaR models, which covers all asset classes (e.g., equity, credit, rates, etc.) and broad spectrum of financial instruments. Candidate will work closely with model validators, front office quants, risk managers, and technology partners as part of ongoing modelling efforts. The candidate will have a great opportunity to contribute to both margin and VaR models. Role Description: Key responsibilities include, but are not limited to

  • Perform SIMM (Standard Initial Margin Model) performance testing by benchmarking against the firm's VaR model and assess materiality of Risks Not in SIMM.
  • Develop a model to support business / risk needs by actively communicating and preparing model documentation / submission to model validators
  • Develop an analytical application / tools to support ongoing model maintenance (e.g., periodic model parameter updates) and to support business / risk needs.
  • Work closely with business / risk and technology to identify / address model weaknesses/limitations and implement improvement in technology platform.
  • Provide clear specs and/or prototypes for technology implementation and perform comprehensive and detailed testing to sign-off on implementation in line with developer's expectation
  • Monitor model performance on an ongoing basis by closely working with model performance team. Qualifications:
    • Ph.D or Masters (with minimum 2 years of experience for Masters) in financial mathematics, physics, computer science, econometrics, or similar discipline
    • Solid understanding of derivatives pricing across different financial products
    • In-depth knowledge on time series analysis, statistical analysis and VaR
    • Strong Python programming skill
    • Proficient in MS office (incluing Excel, PowerPoint)
    • Superior owritten and oral communication skills
    • Well-organized; ability to deliver high quality outcome in time Competencies:
      • Model developer experience at a big firm is a plus
      • Experience in initial margin models for SIMM, CCP, or prime brokerage is a big plus.
      • Experience in model documentation in Latex is a plus
      • Proficient SQL skill is a plus Shift: 1st shift (United States of America) Hours Per Week: 40 Quantitative Finance Analyst

        Keywords: Bank of America Corporation, Waterbury , Quantitative Finance Analyst, Professions , New York, Connecticut

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