Job Description: Corporate Title: Vice President Location: London Line of Business: Global Risk Analytics
Here in our London office we are looking for a Quantitative Finance Analyst to join our Model Risk Performance team, within Global Risk Analytics - Global Markets (GRA-GM). This function sits within BofAML Risk Control and is an enterprise-wide function responsible for the development and monitoring of all global markets analytics used across Risk and Capital.
Within GRA-GM, the Model Risk Performance team is responsible for ongoing monitoring and analysis processes to assess model usage, model accuracy and the overall performance of the exposure platform. Within this team you will be focusing on the Counterparty Credit Risk models and, in particular, insight gained through analysis and quantification of identified model limitations. The role involves working closely with Model Risk Management and Counterparty Credit Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
In return we not only offer the training and support you'd expect from a leading global bank but also the opportunity to grow your career right here in London. With exposure to a variety of financial products and the continued year-on-year growth of the team, we can offer excellent mobility and development.
As a Quantitative Finance Analyst your main responsibilities will involve:
Review the underlying assumptions, theory, derivation, empirical evidence, implementation to understand limitations of the CCR/IMM models in scope. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling
Work closely with the Model Risk Management, CCRA quants and other control functions with respect to formulating methods to quantify the limitations of the models and communication of the outcomes
Help build a framework where all these quantification methods or alternate models can be maintained and run periodically
Quantify these limitations IMM/CCR models developed by model developers, followed by publishing and communication of results
Maintain a sub-portfolio of model inventory and perform quarterly model limitations reviews, on-going monitoring reviews, Required Actions Items closure, etc.
As a Quantitative Finance Analyst your skills and qualifications will ideally include:
Excellent quantitative modelling experience in counterparty models or derivatives pricing models in a major trading or investment firm
PhD or Master's degree in quantitative fields such as mathematics, statistics or equivalent
Broad hands-on experience and expertise in quantitative finance for cross-asset classes with in depth understanding of financial mathematics including stochastic differential equations, probability theory, and derivatives modelling
Well organized, detail-oriented with good communication skills (both written and verbal)
Coding ability in C++ and Python
Business Results: Analytical ability, Execution
People Effectiveness: solid Communication Skills, Energy & drive and team work
Understanding of statistical concepts and experience in applying techniques(Random Forest, SVM, NLP)
Excellent understanding of databases, and query tools like DBeaver, SQL workbench
High skill level in Excel and experience in Python programming
Experience with visualization and presentation tools, mainly, Spotfire, Tableau, or Power BI
Knowledge of statistical tools in Python (SciPy, NumPy, Pandas, scikitlearn)
About Bank of America Merrill Lynch
Bank of America is one of the world's leading financial institutions, serving individual consumers, small- and middle-market businesses, large corporations and governments with a full range of financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the global banking and markets businesses.
The company has had a presence in EMEA since 1922. With offices in 23 countries on three continents, it offers an integrated and comprehensive set of products and services across Global Corporate and Investment Banking, Global Markets and Consumer Card, serving the needs of individual, corporate, institutional and government clients, combining the best of local knowledge and global expertise. Developing solutions for social and environmental challenges is at the core of Bank of America Merrill Lynch's responsibility platform. In more than 90 countries around the world, we partner with employees, clients and stakeholders to help make financial lives better.
If you're interested in this opportunity please send your details to us by applying online.
Good conduct and sound judgment is crucial to our long term success. It's important that all employees in the organisation understand the expected standards of conduct and how we manage conduct risk. Individual accountability and an ownership mindset are the cornerstones of our Code of Conduct and are at the heart of managing risk well.
We are an equal opportunities employer, and ensure that no applicant is subject to less favourable treatment on the grounds of gender, gender identity, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, socio-economic background, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.
As part of our standard hiring process to manage risk, please note background screening checks will be conducted on all hires before commencing employment.