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Bank Of America Associate 
India, Maharashtra, Vasai-Virar 
294232515

28.06.2024

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