Bank Of America Vice President Quantitative Finance Analyst 

United States, New York, New York 

553428980

Responsibilities

• Work independently to conduct quantitative analytics and modeling projects.

• Develop new models, analytic processes or systems approaches.

• Create documentation for all activities and works with Technology staff in design of any system to run models developed.

• Work closely with partners from X-Value Adjustments (XVA) and other desks.

• Work closely with the technology team in order to deliver the analytics in the new system as well as improving performance where necessary.

• Develop and maintain intraday pricing and risk analysis applications used by credit trading desk.

• Develop ETF NAV models and analytical tools for FICC ETF trading desk.

• Maintain pricing models for credit products and fulfilling the regulatory requirements for risk management.

• Construct trading portfolios using mathematical optimization techniques for portfolio selection and automated portfolio quoting.

• Support the trading desk with use of existing models and assisting intraday trading activities for products including bonds, CDS, CDS Index, Index Options, Index Tranches, and ETFs.

• Conduct analysis of large data sets including time series of returns for various products (bonds, CDS, and other credit products) to understand relationships between various market factors and market segments and assist in risk management and optimal portfolio construction.

• Develop hedging strategies and backtesting their performance to reduce hedging costs without increasing market exposure.

Required Skills & Experience

• Master's degree or equivalent in Computer Science, Statistics, Mathematics, or related; and

• 2 years of experience in the job offered or a related quantitative occupation.

• Must include 2 years of experience in each of the following:

• Developing and maintaining intraday pricing and risk analysis applications used by credit trading desk;

• Developing ETF NAV models and analytical tools for FICC ETF trading desk;

• Maintaining pricing models for credit products and fulfilling the regulatory requirements for risk management;

• Constructing trading portfolios using mathematical optimization techniques for portfolio selection and automated portfolio quoting;

• Supporting the trading desk with use of existing models and assisting intraday trading activities for products including bonds, CDS, CDS Index, Index Options, Index Tranches, and ETFs;

• Conducting analysis of large data sets including time series of returns for various products (bonds, CDS, and other credit products) to understand relationships between various market factors and market segments and assist in risk management and optimal portfolio construction; and,

• Developing hedging strategies and backtesting their performance to reduce hedging costs without increasing market exposure.

If interested apply online ator email your resume toand reference the job title of the role and requisition number.

BofA Securities, Inc.

1st shift (United States of America)