Senior Quantitative Finance Analyst - GWIM Model Validation - New York, NY

Bank of America


Location:
New York, NY
Date:
08/22/2017
2017-08-222017-09-21
Job Code:
bankofamerica-17025599NewYorkNY
Bank of America
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Job Details

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Company Bank of America

Job Title Senior Quantitative Finance Analyst - GWIM Model Validation - New York, NY

Jobid bankofamerica-17025599NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**



Responsible for independently conducting quantitative analytics and modeling projects. Responsible for developing new models, analytic processes or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellentquantitative/analyticskills and a broad knowledge of financial markets and products.



The qualified candidate will join a team of analysts in the Model Risk Management (MRM) group and will be responsible for the independent review and validation of allMathematical/Statisticalmodels used by the Global Wealth & Investment Management (GWIM) group. The MG group ensures that all models reflect best modeling practices and comply with the OCC requirements, BAC enterprise and MRM policies/procedures.



The qualified candidate will work cross-functionally to enforce current model risk control procedures and apply his experience and skills to subject the models used by the GWIM group to effective challenge. The qualified candidate will also function as a subject matter expert to provide technical consultation to a team of 5 analysts and to the MRM management for policy/procedure revisions/update.



The qualified candidate will join a group of highly skilled and experienced professionals bound by a strong commitment to high-quality work in a very collegial atmosphere.



Key words: APT model, Asset allocation, Black-Litterman model, CAPM, Cash flow modeling, Derivatives pricing, High-dimensional problems, Monte Carlo simulation, Portfolio optimization, Stochastic processes, Value-at-Risk (VaR).



Key requirements:

Strong and diversified quantitative skills

Working knowledge of the main asset classes available on the market(equities, fixed-income securities, options)

Working knowledge of derivative financial instruments and the numerical methods used to price them

Working knowledge of stochastic processes and stochastic calculus/integration

Working knowledge of optimization techniques, regression techniques and Monte Carlo simulation

Ability to understand and communicate clearly and effectively at all levels

Ability to learn and adapt in an unexplored field, if necessary

Team player attitude



Required Skills:

Masters/Ph.D.-level degree in Quantitative Finance

Strong programming skills in VBA, Matlab, Python, and SAS

Technical curiosity and interest in learning new skills



**Posting Date** : 04/13/2017



**Location** : US-NY-New York



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



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



**Hours Per Week** : 40



**Shift** : 1st shift



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**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.



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