Bank Of America Quant Strategist/Modeler - Mortgages 

United States, New York, New York 

177536401

Job Description:

The Quantitative Strategies and Data Group (DQSG) is looking for a VP mortgage prepayment modeler to support expanded deliverables from the Mortgage trading desk.

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 model development/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 of development/validation projects 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
• Global team providing solutions across regions of business and asset classes.
• Responsible for mortgage prepayment model development.
• Detailed design & development of front office analytics platform.
• Opportunities to work on the research and implementation of actionable trading strategies.
• Working entirely in Front Office alongside quant colleagues & trading specialists.
• Support traders, research strategies and operational trading tools.

Skills:

• Competencies and Requirements:
• Masters or PhD or equivalent level preferred.
• Proven experience with mortgage prepayment model development.
• Excellent programming skills in C++, Python.
• Good business and modeling knowledge across asset classes.
• Prior experience working in front office is preferable.
• Ability to work independently when given complex tasks.
• Excellent communication skills.
• Excellent mathematical skills.

Master’s degree in related field or equivalent work experience

1st shift (United States of America)