Sr. Quantitative Finance Analyst - Counterparty Risk, New York, NY
Bank of America Corporation
June 3, 2018
New York, New York
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 company's 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 individual's 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 senior 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 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. Candidate will report to the Head of Counterparty Model Risk Management.
Validate XVA models developed by front office model developers and IMM/CCR models developed by Global Risk Analytics. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, 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 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
6+ years of quantitative modelling experience in Counterparty Models or related area in a major trading or investment firm
PhD in quantitative fields such as mathematics, statistics or equivalent and 5 + yrs of experience preferred or MS and 8 years of experience
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, interest rates and credit risk modelling.
Well organized, detail-oriented with good communication skills (both written and verbal)
Strong coding ability in C++ and Python is a plus
Shift: 1st shift (United States of America)
Hours Per Week: 40
Internal Number: 3770963
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