Bank Of America Sr Analyst 

India, Maharashtra, Vasai-Virar 

551600693

Responsibilities:

• Validate bank’s market risk models developed by Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
• 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
• Educational institutes: Top tier – IITs, NITs, Indian Statistical Institutes etc.
• Certifications (preferred but not mandatory): FRM, CFA etc.
• Experience Range: 5-7 years

• Foundational skills:
  • Strong Experience in the quantitative modeling and/or validation field
  • Strong Quantitative skills
  • Strong knowledge of financial, mathematical and statistical theories and practices, and a deep understanding of the modeling process, model performance measures, and model risk. Knowledge on derivative pricing and risk models is preferred. 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 derivatives pricing/risk models in one or more asset classes 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 Malad