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Quantitative Finance Manager - Retail Model Validation - New York, NY

Bank of America

New York, NY
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Job Details

Company Bank of America

Job Title Quantitative Finance Manager - Retail Model Validation - New York, NY

Jobid bankofamerica-16048856NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**

Job Description

Manages a group of staff responsible for developing and evaluating quantitative analytics/modeling for specific business units or types of transactions. Directs activity of staff in their area in providing support to the business unit and to other business units within Bank of America. Actively involved in the analytics effort, but spends significant amount of time managing staff and coordinating projects. Acts as a senior level resource or resident expert on particular analytic/quantitative modeling techniques. Provides guidance to staff on areas of expertise.

Enterprise Model Risk Management seeks a quantitative finance manager to conduct independent testing and review of Advanced Internal Ratings Based (A-IRB) models to determine credit risk regulatory capital for retail products. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.

General responsibilities include:

- Reviewing conceptual foundations of a model, underlying assumptions, model specification, variable selection, underlying data.

- Reviewing empirical evidence.

- Assessing adequacy of model documentation.

- Challenging model assumptions and approach as needed.

- Developing code to replicate results and conduct independent testing.

- Assessing quality of model outputs through back testing against realized outcomes, benchmarking against alternative models, sensitivity tests around assumptions and limitations, and other relevant tests.

- Verifying correctness of model implementation

- Assessing model accuracy, conservatism and compliance with regulations.

- Reviewing ongoing model monitoring results

- Writing thorough technical reports for distribution and presentation to senior management, model developers, audit and bank regulators.

- Directing model validation staff to perform model risk management activities.

Required Skills:

- PhD or Masters in Statistics, Mathematics, Finance, Engineering, Physics, Economics or related field.

- Experience with Advanced IRB retail modeling.

- Experience with Basel framework and knowledge of BCC 13-5, 14-3 and other regulatory requirements.

- Expertise in econometrics, time series or decision modeling.

- Strong knowledge of financial instruments and financial risk management principles.

- Deep knowledge and understanding of model performance measures.

- Minimum 10 years of experience in computational, engineering or scientific research or development roles.

- Minimum 5 years of experience in financial risk modeling or validation.

- Experience in risk management or quant group in a financial institution, vendor or regulator.

- Proficiency in SAS and R.

- Ability to communicate clearly and effectively.

- Ability to produce high quality technical documentation.

- Managerial experience leading quantitative teams.

- Strong project management skills.

- Familiarity with OCC 2011-12 / SR 11-7.

**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 .

**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.

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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.

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