1 day old
2017-12-102018-01-09

Quantitative Finance Analyst - MRM Counterparty

Bank of America
Charlotte, NC
  • Job Code
    bankofamerica-17024940CharlotteNC
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Company Bank of America

Job Title Quantitative Finance Analyst - MRM Counterparty

Jobid bankofamerica-17024940CharlotteNC

Location: Charlotte, NC, 28230, USA

Description **Job Description:**



**Business Overview**



Bank of America - Merrill Lynch is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York and London. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling. The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.



**Responsibilities**



+ Validate XVA/IM/CCR/IMM models developed by Quantitative Strategy Group and Global Risk Analytics. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modeling

+ 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 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



**Required Skills**



+ PhD in quantitative fields such as mathematics, statistics or equivalent.

+ In depth understanding of financial mathematics including stochastic differential equations, probability theory, statistical analysis, interest rates and credit risk modeling.

+ Well organized, detail-oriented with good communication skills (both written and verbal)

+ Strong coding ability in R , Python and C++ is a plus

+ Quantitative modelling and/or validation experience in IM/VaR models is preferred



**Posting Date** : 08/11/2017



**Location** :

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

Charlotte, NC, ONE BANK OF AMERICA CENTER, 150 N COLLEGE ST,

- 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.



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Quantitative Finance Analyst - MRM Counterparty

Bank of America
Charlotte, NC

Share this job

Quantitative Finance Analyst - MRM Counterparty

Bank of America
Charlotte, NC

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