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Senior Quant Finance Analyst - MRM Counterparty

Bank of America


Location:
Charlotte, NC
Date:
04/23/2017
Job Code:
bankofamerica-16049222CharlotteNC
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Job Details

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Company Bank of America

Job Title Senior Quant Finance Analyst - MRM Counterparty

Jobid bankofamerica-16049222CharlotteNC

Location: Charlotte, NC, 28230, USA

Description **Job Description:**



Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.



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.



Responsibilities



+ Validate initial margin models (IM) and XVA models developed by Quantitative Strategy Group and Global Risk Analytics, including IM models for cleared OTC derivatives, e.g., the CCP IM models, and Standard Initial Margin Model (SIMM) for uncleared OTC derivatives, as well as margin valuation adjustment (MVA) models.

+ 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 business, Front Office, 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



Requirements



+ PhD in quantitative fields such as mathematics, statistics or equivalent

+ In depth understanding of financial mathematics including stochastic differential equations, probability theory, statistical analysis, interest rates and credit risk modeling



+ Well organized, detail-oriented with good communication skills (both written and verbal)

+ Strong coding ability in R , Python and C++ is a plus



+ 5y work experience is required in quantitative modeling and/or validation in one of the following areas: XVA/IM/CCR/IMM, exposures in IM or Value at Risk models are preferred



**Posting Date** : 12/21/2016



**Location** : US-NC-Charlotte



**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.


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