Bank Of America Senior Quantitative Finance Analyst 

France, Ile-de-France, Paris 

436630921

Role Description:

Key responsibilities include supporting the development of new models, analytic processes, or system approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations may include the ability to influence strategic direction, as well as develop tactical plans.

Responsibilities:

• Performing end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and assessing stress scenario results to better understand key drivers.
• Supporting the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization.
• Identifying continuous improvements through reviews of approval strategies on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation.
• Introducing and providing methodological and technical guidance to effectively influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk.
• Working closely with model stakeholders regarding communication of submission and validation outcomes.
• Performs statistical assessments on large datasets and interprets results using both qualitative and quantitative approaches.
• Prepare validation report and technical documents for the model being validated.
• Work closely with the model stakeholders (business, Market Risk, Finance/GVG 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.
• Participate in MRM engagements with regulatory bodies.

• Youwill possess a PhD in quantitative fields such as mathematics, statistics, physics, econometrics or computer science OR have a Masters' degree in same fields with seasoned industry experience.
• In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.
• Prior knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank’s operations and regulatory requirements
• Experience in IMM Basel Capital requirements and European CRR
• Coding ability in Python, R, C++ is a plus

Skills that will help:

• Predisposed to critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning.
• Good communication skills (both written and verbal).
• Experience in counterparty modelling is a plus.

• 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.