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Bank Of America Quantitative Finance Analyst United States, Illinois, Chicago 484403770
Job Description:
Job Description:
• Validate XVA/CCR/IMM system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, 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 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.
• Participate in MRM engagements with regulatory bodies
Master’s degree in related field or equivalent work experience, PhD preferred.
Required Qualifications:
• PhD in quantitative fields such as mathematics, statistics, physics or equivalent
• 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.
• Exceptional knowledge of financial derivatives, OTC trading and hedging, collateral management, capital management, bank’s operations and regulatory requirements
• Expertise in IMM Basel Capital requirements and IMM CRR is a strong plus
• Strong coding ability in Python, R, C++ is a plus
• 5 years work experience is required in quantitative modelling and/or validation in CVA/CCR or derivative pricing models. Experience with counterparty modelling is a plus.
• Predisposed to critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)
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