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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:
Skills:
Master’s degree in related field or equivalent work experience
Consumer Model Development & Operations – Quantitative Financial Analyst (B5)
Bank of America Merrill Lynch has an opportunity for a Quantitative Financial Analyst within our Global Risk Analytics (GRA) function. GRA is a sub-line of business within Global Risk Management (GRM). GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard. GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks. In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities.
Overview of Consumer Model Development
The Consumer Model Development & Operations (CMDO) team is part of Global Risk Analytics. It provides quantitative solutions to enable effective risk and capital management across the Retail and Global Wealth & Investments Management (GWIM) lines of business.The team places strong emphasis on delivering world class quantitative solutions for Front Line Unit (FLU) model owners and stakeholders through a disciplined and iterative development process. The team has responsibilities across a number of areas:• Quantitative Modeling – Develop and maintain risk and capital Models and Model Systems across Retail and GWIM product lines. Models and Model Systems provide insight into many risk areas, including loan default, exposure at default (EAD), loss given default (LGD), delinquency, prepayment, balances, pricing, risk appetite, revenues and cash flows.
• Quantitative Development – Architect, implement, maintain, improve and integrate quantitative solutions on strategic GRA platforms. Outputs include GRA libraries that perform consumer risk model calculations, analytical tools, processes and documentation. Partner in defining, adopting, and executing GRA’s technical strategy.
• Risk and Capital Management Capabilities – Build best in class quantitative solutions that enable the Retail and GWIM lines of business to effectively manage risk and capital, through the application of the disciplined BAU development process that includes extensive interaction with the FLU model owners and stakeholders throughout the quantitative lifecycle.
• Infrastructure – Partner in driving forward the infrastructure to support the goals of GRA through code efficiencies, and expansion of quantitative capabilities to better leverage infrastructure and computational resources.
• Documentation – Deliver concise, quantitative documentation to inform stakeholders, meet policy requirements, and enable successful engagement in regulatory exams (e.g., CCAR, CECL) via automated, modularized, and standardized documentation and presentations.
Role Responsibilities
Successful candidates will have a Masters or PhD in Math, Economics, Statistics, or similar discipline, and a minimum 2 years relevant experience in statistics, data science, econometrics, and other quantitative analysis.Successful candidates will possess the following skills:
• First-hand experience in data analysis, statistical model estimation, implementation, and testing
• Strong programming skills in Python, SQL, Pandas and NumPy
• Quantitative documentation experience with LaTeX
• Strong analytical and problem-solving skills
• Effectively presents quantitative analysis to stakeholders
• Experience with HDFS, HIVE, and Spark
• Ability to apply CI/CD tools (e.g,, Git, JIRA, Confluence, Pytest, Jenkins, and SonarQube) in model development process
• In-depth business knowledge of Consumer and Wealth Management products
• Experience with CCAR and CECL
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