QP function partners with GRA teams to develop and deliver modelling solutions and analytical tools in order to address MRA/MRIA requirements; provides quantitative expertise for a broad range of modelling areas across the Enterprise; builds and maintains the analytics infrastructure which supports GRA's modelling library; develops robust back-testing frameworks.
The role will involve the development and enhancement of capital and loss forecasting models within the bank, with a particular focus on the achieving compliance with the Basel committee market risk requirements outlined as part of the Fundamental Review of the Trading Book. This is a high-profile area and presents a challenging and intellectually stimulating role in a dynamic team that is used to delivering in a timely manner to many different constituents of the bank.
As a Quantitative Finance Analyst your main responsibilities will involve:
- Developing and implementing new models or enhance existing models
- Maintaining & developing loss forecasting and capital models
- Seeking out work and enhancing current models/processes
- Producing clear and coherent technical documentation for internal and regulatory purposes
As a Quantitative Finance Analyst your skills/competencies would ideally include:
- Technical skills: Statistics, Probability Theory, Econometrics
- IT skills: Prior experience of using statistical modeling tolls (e.g. SAS, R) and development experience in either C++ or Python
- Documentation: Ability to clearly document quantitative models and evidence technical modeling choices
- Data analysis and interpretation. Experience of interpreting and manipulating large financial data sets
- Qualified to MSc or PhD level in a numerical discipline (e.g. Statistics, Mathematics, Physics or Engineering)
- Experience in developing, documenting & maintaining numerical models for purposes of loss forecasting or calculating capital requirements
- Demonstrates attention to detail
- Proven ability to communicate complex technical concepts clearly
- Practical experience of quantitative model documentation using of LaTex or similar mathematical typesetting packages
- Working knowledge of credit products including loans, bonds and credit derivatives
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 are interested in this opportunity please send your details to us by applying online with your CV.
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, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.