Bank Of America ASO/VP - Quant Strategist Credit 

United States, New York, New York 

607525424

Job Description:

Job Description:
This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on modeldevelopment/validation
• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches ofdevelopment/validationprojects and identify areas of potential risk
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
• Develop and maintain desk tools in Python
• Develop the analytics library in C++
• Support the trading desk with use of existing models, developing new strategies
• Working on optimal portfolio selection and automated portfolio quoting
• Analysis of large data sets and distilling the information contained within
• Developing hedging strategies and backtesting their performance
• Work closely with partners from other desks, e.g. XVA
• Work closely with the technology team in order to deliver the analytics in the new system as well as improve performance where necessary

Skills:

• Critical Thinking
• Quantitative Development
• Risk Analytics
• Risk Modeling
• Technical Documentation
• Adaptability
• Collaboration
• Problem Solving
• Risk Management
• Test Engineering
• Experience in both Python and C++ is highly desirable.
• As a minimum experience with object orientated programming and previous experience in either Python or C++ is required.
• Knowledge of working within a structured software development environment. Use of source code control systems, continuous integration environments, testing, release processes, etc.
• Rigorous problem solving skills
• Knowledge of bond and credit derivative products, understanding of derivatives pricing models
• Experience with large dataset analysis

PhD or Master’s degree in related field or equivalent work experience

1st shift (United States of America)