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Bank Of America Senior Analyst 
India, Maharashtra, Vasai-Virar 
324795649

16.07.2024

Responsibilities:

  • Validate bank’s pricing/margin/risk models developed by Quantitative Strategy Group and Global Risk Analytics for Credit derivatives.
  • Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
  • Perform independently 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 and/or Mathematics and/or Financial Mathematics and/or Economics, Physics etc Top tier – IITs, NITs, Indian Statistical Institutes etc.
  • Certifications (preferred but not mandatory): FRM, CFA etc.
  • Experience Range: 5-7 years
  • Foundational skills:
    • Strong Quantitative skills –
      • In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models
    • Strong Written and Oral Communication
    • 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 credit derivatives (such as CDS, CDO, Risky bond, CLN, etc.) is a plus
    • Speaking / presentation skills in a professional setting
    • Strong design patterns skills to design and architecture the tool

Work Timings:12 PM – 9 PM IST

Mumbai