1 day old
2018-01-192018-02-17

Corporate Investment Portfolio Manager

Bank of America
New York, NY
  • Job Code
    bankofamerica-17066676NewYorkNY
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Company Bank of America

Job Title Corporate Investment Portfolio Manager

Jobid bankofamerica-17066676NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**



**Job Description:**



Bank of America is seeking an Interest Rates Derivatives Analyst/Portfolio Manager for the Chief Investment Office (CIO). CIO is responsible for the bank’s asset liability management through theHeld-To-Maturity, Available-For-Sale and Mark-To-Market investment portfolios, debt hedging, risk management of the bank’s Mortgage Servicing Rights (MSR) and management of the bank’s mortgage pipeline hedging and loan delivery activities. CIO manages approximately $400 billion in assets, concentrated in G7 fixed income securities including: sovereigns and supranationals, agency and non-agency residential and commercial mortgage-backed securities and collateralized mortgage obligations. CIO also makes extensive use of derivatives including: interest rate swaps, swaptions, US Treasury and Eurodollar futures and options, TBAs, constant maturity mortgage forward rate agreements and mortgage options.



**Responsibilities and requirements include:**



+ Trade execution across various fixed income markets, including US Treasuries, Eurodollar and bond futures, swaps, swaptions and other derivatives.

+ Portfolio construction and risk analysis consistent with modern asset pricing theory.

+ Understanding the factors that drive fixed income markets and keeping up to date with current events, regulatory changes, and other developments that may impact the portfolio.

+ Designing and maintaining quantitative models, including the ability to synthesize and implement ideas from scholarly articles in quantitative fields, communicating complex mathematical concepts and making incremental improvements to accommodate changing business needs.



**Enterprise Role Overview**



Assist in the day-to-day risk management and market monitoring of the Chief Investment Office portfolio and executing transactions in accordance with the established policies and risk parameters. Have a thorough knowledge of the product area including market liquidity and volatility, pricing, and trading/hedging strategies. May provide technical, analytical and product support to more junior associates.



**Required Skills and Experience:**



+ Master’s degree with quantitative emphasis such as physics, math, engineering, computer science, or equivalent.

+ Python/R programming or equivalent.

+ Convex optimization, statistical analysis, machine learning, time series analysis.

+ Strong interpersonal communication skills (ability to discuss market activities over the phone with multiple dealers).

+ Strong understanding of asset pricing, optimal trade execution, risk management and portfolio construction.

+ Strong attention to detail and self-starter.



**Desired Skills and Experience:**



+ Strong product knowledge including: interest rate swaps, swaptions, US Treasury and Eurodollar futures and options, TBAs, constant maturity mortgage forward rate agreements and mortgage options, sovereigns and supranationals, agency and non-agency residential and commercial mortgage-backed securities and collateralized mortgage obligations

+ LaTeX

+ UNIX scripting

+ Version Control



This role can be filled as a Corp Inv Portfolio Mgr or a Corp Inv Portfolio Analyst.



**Posting Date** : 11/29/2017



**Location** :

New York, NY, BANK OF AMERICA TOWER, ONE BRYANT PARK,

- United States



**Travel** : Yes, 5% of the time



**Full / Part-time** : Full time



**Hours Per Week** : 40



**Shift** : 1st shift



**Assistance for Applicants with Disabilities**



Bank of America is committed to ensuring that our online application process provides an equal employment opportunity to all job seekers, including individuals with disabilities. If you believe you need a reasonable accommodation in order to search for a job opening or to submit an application, please visit the Applicants with Disabilities page at http://careers.bankofamerica.com/us/applicants-with-disabilities .



**Diversity & Inclusion**



At Bank of America, our commitment to diversity and inclusion is helping us to create not only a great place to work, but also an environment where our employees, our customers and our communities around the world can reach their goals and connect with each other. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.



**Frequently Asked Questions**



Need to know how to apply online, view a list of your submitted job applications or reset your password? Visit our FAQ at http://careers.bankofamerica.com/us/faq section for answers to these questions and more.



Categories

  • Management

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Corporate Investment Portfolio Manager

Bank of America
New York, NY

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Bank of America
New York, NY

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