Bank Of America Associate 

India, Maharashtra, Vasai-Virar 

294232515

Responsibilities:

• Validate bank’s pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for Rates and FX derivatives.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independent testing, scenario analysis and back-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.

Requirements:

• Education: Masters or Ph.D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc.
• Educational institutes: Top tier – IITs, NITs, Indian Statistical Institutes, IIMs etc.
• Certifications (preferred but not mandatory): FRM, CFA etc.
• Experience Range: 5 – 7 years

• Foundational skills:
  • Minimum of 2 or more years of experience in the quantitative modeling and/or validation field
  • Strong Quantitative skills –
    • In depth understanding of financial mathematics including stochastic calculus, probability theory and time-series modeling
    • Strong knowledge of financial instruments in one or more asset classes and financial risk management principles
    • Knowledge of complex OTC derivative products and underlying risks
  • Strong Written and Oral Communication
    • Ability to follow up with issues and summarize discussions
    • Ability to communicate clearly, effectively, and work well with people at all levels
  • Attention to details
  • Willingness to learn
  • Strong work ethic
  • Team player

• Desired skills:
  • Strong coding ability in Python, C++ or R is a plus
  • Experience in derivatives pricing/risk models in one or more asset classes is a plus
  • Experience in LaTeX
  • Speaking / presentation skills in a professional setting

Work Timings:12 PM – 9 PM IST

Mumbai Malad