Quantitative Finance Analyst
Bank of America
Company Bank of America
Job Title Quantitative Finance Analyst
Location: New York, NY, 10176, USA
Description **Job Description:**
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.
Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the companys global banking and global markets businesses.
The company is a long-established participant in the European marketplace, with a presence since 1922. With offices throughout Europe and CEEMEA, the company offers an integrated and comprehensive set of products and services across all businesses, serving the needs of individual, corporate, institutional and government clients, by combining the best of local knowledge and international expertise. Bank of America Merrill Lynch has a strategic and measured approach to its international development and is strengthening its business and infrastructure to create sustainable, long-term growth.
Bank of America Merrill Lynch offers a number of outstanding career opportunities designed to attract and retain all skill levels a chance for both personal and professional development as well as a salary and benefit package designed to reflect the individuals contribution.
Bank of America Merrill Lynch is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and other commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation (""Investment Banking Affiliates""), including, in the United States, Merrill Lynch, Pierce, Fenner & Smith Incorporated, which is a registered broker-dealer and a member of FINRA and SIPC, and, in other jurisdictions, locally registered entities. Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed.
Bank of America - Merrill Lynch is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York and London. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.
Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
+ Validate XVA system models and feeder models of banks counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.
+ Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
+ Perform independently testing to identify/quantify model risk associated with the model being validated
+ Prepare validation report and technical documents for the model being validated
+ Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
+ Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.
+ PhD in quantitative fields such as mathematics, statistics, physics or equivalent
+ In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.
+ Strong coding ability in C++, Python or R is a plus
+ Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)
**Posting Date** : 12/21/2016
**Location** : US-NY-New York
**Travel** : Yes, 5% of the time
**Full / Part-time** : Full time
**Hours Per Week** : 40
**Shift** : 1st shift
**Assistance for Applicants with Disabilities**
Bank of America is committed to ensuring that our online application process provides an equal employment opportunity to all job seekers, including individuals with disabilities. If you believe you need a reasonable accommodation in order to search for a job opening or to submit an application, please visit the Applicants with Disabilities page at http://careers.bankofamerica.com/us/applicants-with-disabilities .
**Diversity & Inclusion**
At Bank of America, our commitment to diversity and inclusion is helping us to create not only a great place to work, but also an environment where our employees, our customers and our communities around the world can reach their goals and connect with each other. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.
**Frequently Asked Questions**
Need to know how to apply online, view a list of your submitted job applications or reset your password? Visit our FAQ at http://careers.bankofamerica.com/us/faq section for answers to these questions and more.
Success begins with building relationships.
At Bank of America, our customers are at the center of everything we do. Our focus is on helping each one find the right financial solutions. With a wide range of career opportunities available, we invite you to realize your career goals with us while assisting customers with what matters most to them.
Welcome to Careers at Bank of America.