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Bank Of America Senior Analyst 
India, Maharashtra, Vasai-Virar 
246835028

12.07.2024

Responsibilities:

  • Validate bank’s market risk models developed by Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk 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 model stakeholders (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 and etc.

Requirements:

  • Education: Masters or Ph.D. degree in Statistics and/or Mathematics and/or Financial Mathematics and/or Economics, Physics etc
  • Educational institutes: Top tier – IITs, NITs, Indian Statistical Institutes etc.
  • Certifications (preferred but not mandatory): FRM, CFA etc.
  • Experience Range: 5-7 years
  • Foundational skills:
    • Strong Experience in the quantitative modeling and/or validation field
    • Strong Quantitative skills
    • Strong knowledge of financial, mathematical and statistical theories and practices, and a deep understanding of the modeling process, model performance measures, and model risk. Knowledge on derivative pricing and risk models is preferred. Strong Written and Oral Communication
    • Attention to details
    • Willingness to learn
    • Strong work ethic
    • Team player
  • Desired skills:
    • Strong coding ability in Python, C++ or R is a plus
    • Experience in derivatives pricing/risk models in one or more asset classes is a plus
    • Speaking / presentation skills in a professional setting
    • Strong design patterns skills to design and architecture the tool

Work Timings:12 PM – 9 PM IST

Mumbai Malad