Bank Of America Senior Quantitative Financial Analyst - Counterparty Model Validator 

France, Ile-de-France 

226434113

Job Description:

Job Title:Senior Quantitative Finance Analyst - Counterparty Model Validator

Director

Role Description:

Independent Model Risk Management seeks a Senior Quantitative Finance Analyst to support model validation and model risk management activities associated with models used in Global Markets for measuring, reporting and managing of counterparty risk. The role will also support the Legal Entity oversight of counterparty models in the French entity, including interactions with local supervision team. In addition, the role may contribute to model validation and model risk management activities in other US and EMEA legal entities as needed.

The role involves hands-on expertise to conduct independent review and testing of complex models, it also requires the ability to develop tactical tools to organize ad-hoc analysis and identify emerging model risk themes. It will require collaboration with model development teams, front line units, and support functions hence good communication skills are required. The Senior Quantitative Finance Analyst will produce technical reports for distribution and presentation to stakeholders including senior management, audit, and banking regulators.

Responsibilities:

• Validate counterparty system models and their components developed by Quantitative Strategy and Data Group and Global Risk Analytics across all asset classes.

• 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 model stakeholders and senior management with regard to communication of submission and validation outcomes

• Identify continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Maintain and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Lead and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Participate in MRM engagements with regulatory bodies

What we are looking for:

• A PhD degree in quantitative finance or quantitative sciences, e.g. physics, mathematics, statistics and related fields

• In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and counterparty risk models

• Familiarity with Basel III framework and its implementation in CRR in EU and UK

• Extensive experience in quantitative modeling and/or validation in CVA/CCR area

• Coding ability in Python, R, C++ is a plus

• Familiarity with LaTeX as documentation preparation system

• Critical thinking, intellectual curiosity and collaboration

• Communication, verbal and in writing

• Adaptability

• Research

• The role is not expected to have direct responsibilities for managing associates but may involve leading collaborative projects where coordination and direction of work of junior associates may be required.

France

• Competitive retirement plan in addition to State plans

• Mandatory Medical Plan provided by the bank as a top-up to Social Security health benefits for you and your family.

• Employees and family members can receive free health advice 24/7 through a range of English and French speaking medical providers

• Life and disability insurance

• Time Savings Account (‘CET’) to save some of your leave days, cash them out or use them later

• Reimbursement of 50% of your commuter pass

• Nursery scheme for children under age 3

• Works council benefits

• Access to an Employee Assistance Programme for confidential support and help for everyday matters

• Opportunity to give back to your community, develop new skills and work with new groups of people by volunteering with local charities

• Opportunity to receive free entry to arts exhibitions sponsored by Bank of America in Paris

We strive to ensure that our recruitment processes are accessible for all candidates and encourage any candidates to tell us about any adjustment requirements.