Senior Quantitative Finance Analyst - Pricing

Bank of America

New York, NY
Job Code:
Bank of America
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Job Details

Company Bank of America

Job Title Senior Quantitative Finance Analyst - Pricing

Jobid bankofamerica-17020948NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**

Job Specific Description:

Review and implement derivatives pricing models utilizing knowledge of probability theory, derivative pricing theory, stochastic calculus and various programming languages including C++ and VBA. Analyze all aspects of model and market risk. Use experience and market/product knowledge to identify and assess the appropriateness of the models key underlying assumptions. Create documentation for all activities.Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

General Job Description:

Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellentquantitative/analyticskills and are able to influence strategic direction, as well as develop tactical plans.

Responsibilities may include:

Validate equity derivative models developed by Front Office Equity-Linked Quant Group.

· Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.

· Identify, quantify and follow model risk associated with the model being validated

· Develop benchmark models in C++ for model review and model risk management purposes.

· Prepare validation report and technical documents for the model being validated.

· Assist market risk managers on trade approvals and finance on price verification methodologies.

· Help on maintaining model inventory and conducting ongoing model performance monitoring

Required Skills

Masters or foreign equivalent in Computational Finance, Mathematics, Statistics, Physics or related degree.

Strong aptitude for independent critical thinking.

Strong communication skills (written and verbal)

· 5+ years’ experience in financial markets.

· Familiarity with exotic equity derivatives is a must.

· The candidate must have graduate-level research experience or coursework in the following: derivatives modeling; stochastic calculus; Partial Differential Equations; Statistics; Probability; Numerical Analysis; Monte Carlo Methods; VBA and C++.

· Any suitable combination of education, training, or experience is acceptable.

Desired Skills

PhD or foreign equivalent in Computation Finance, Mathematics, Statistics, Physics or related degree

Cross-asset class experience

**Posting Date** : 03/29/2017

**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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