Bank Of America Vice President Valuation Analyst 

United States, New York, New York 

843904101

RESPONSIBILITIES:

• Develop and enhance the quantitative methodologies for IPV and associated Fair Value and Prudent Valuation Adjustments.

• Define Fair Value Hierarchy classification and justification, i.e. creating the framework for a given product, risk, or portfolio as appropriate.

• Work closely with Traders, Market Risk, Model Risk Management, Front Office Quants, Product Controllers, and Senior Managers on Valuation related matters.

• Communicate complex valuation matters to Senior Management, Auditors, and Regulators.

• Leveraging expert knowledge of financial markets, products, and quantitative background to critically evaluate the IPV results and support resolution of IPV differences.

• Support Front Office Model Governance through the review of model limitations and potential impact on Fair Value.

• Utilize input of market parameters (swap rates, spreads, cap/floor and swaption vols, exchange-traded securities across different currencies) to ensure accurate derivatives portfolio valuation, including Greeks, mark-to-market (MTM), and PnL attribution.

• Apply product knowledge of Interest Rate derivatives (Swaps, Swaptions, Bermudan Swaptions, CMS Swaps, CMS Cap/Floor) and market risk principles to assess valuation approaches and models.

• Track global financial markets, analyze market movements, conduct monthly valuation analysis, and ensure accurate curve marking and trade reconciliation.

• Utilize financial derivatives pricing models (Yield Curve Construction, SABR model) to evaluate model performance, calibrate to market data, and collaborate with model owners to address limitations.

• Conduct independent valuation validation, develop Fair Value Hierarchy Classification, and ensure compliance with valuation uncertainty controls.

• Implement Python-based automated solutions for valuation reports, fair value and liquidity valuation adjustments, and prudent valuation adjustments.

• Remote work may be permitted within a commutable distance from the worksite.

REQUIRED SKILLS & EXPERIENCE:

• Master's degree or equivalent in Finance, Mathematics, Statistics, Quantitative Finance, or related; and

• 2 years of experience in the job offered or a related Quantitative occupation.

• Must include 2 years of experience in each of the following:

• Utilizing input of market parameters (swap rates, spreads, cap/floor and swaption vols, exchange-traded securities across different currencies) to ensure accurate derivatives portfolio valuation, including Greeks, mark-to-market (MTM), and PnL attribution;

• Applying product knowledge of Interest Rate derivatives (Swaps, Swaptions, Bermudan Swaptions, CMS Swaps, CMS Cap/Floor) and market risk principles to assess valuation approaches and models;

• Tracking global financial markets, analyzing market movements, conducting monthly valuation analysis, and ensuring accurate curve marking and trade reconciliation;

• Utilizing financial derivatives pricing models (Yield Curve Construction, SABR model) to evaluate model performance, calibrate to market data, and collaborate with model owners to address limitations;

• Conducting independent valuation validation, developing Fair Value Hierarchy Classification, and ensuring compliance with valuation uncertainty controls; and,

• Implementing Python-based automated solutions for valuation reports, fair value and liquidity valuation adjustments, and prudent valuation adjustments.

If interested apply online at or email your resume to and reference the job title of the role and requisition number.