Bank Of America Senior Quantitative Financial Analyst 

United Kingdom, England, City of Westminster 

45031978

Job Description:

Job Title:Senior Quantitative Finance Analyst

Corporate Title:Up to VP

This job is responsible for conducting quantitative analytics and complex modelling projects for specific business units / risk types.

Role Description:

Key responsibilities for this role include supporting the development of new models, analytic processes, or system approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations may include the ability to influence strategic direction, as well as develop tactical plans.

Responsibilities:

• Validate XVA and Counterparty Credit Risk system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.

• 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

• Youwill possess a PhD in quantitative fields such as mathematics, statistics, physics, econometrics or computer science OR have a Masters' degree in same fields with seasoned industry experience.

• Youwill have excellent skills in written and verbal communication, and the ability to collaborate at senior level.

• You will be a critical thinker with the ability to critique and identify issues, and articulate suggestions to resolve them.

• Youwill have a deep understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling.

• You will have solid experience in developing Pricing Models or Market Risk Models.

Skills that will help:

• Experience with communicating technical questions, verbally and in writing, to non-technical audience is a plus.

• Strong coding ability in Python or R, knowledge of LaTeX document preparation system would be advantageous.

• Private healthcare for you and your family plus an annual health screen to help you manage your physical wellness with the option to purchase a screen for your partner

• Competitive pension plan, life assurance and group income protection cover if you become unable to work as a result of a disability or health reasons

• 20 days of back-up childcare including access to school holiday clubs and 20 days of back-up adult care per annum

• The ability to change your core benefits as well as the option of selecting a variety of flexible benefits to suit your personal circumstances including access to a wellbeing account, travel insurance, critical illness etc.

• Access to an emotional wellbeing helpline, mental health first aiders and virtual GP services.

• Access to an Employee Assistance Program for confidential support and help for everyday matters

• Ability to donate to charities of your choice directly through payroll and the bank will match your contribution

• Opportunity to access our Arts & Culture corporate membership program and receive discounted entry to some of the UK’s most iconic cultural institutions and exhibitions.

• Opportunity to give back to your community, develop new skills and work with new groups of people by volunteering in your local community.

We strive to ensure that our recruitment processes are accessible for all candidates and encourage any candidates to tell us about any adjustment requirements.