14 days old

Sr Quantitative Finance Analyst - New York

Bank of America
New York, NY
  • Job Code
Company Bank of America

Job Title Sr Quantitative Finance Analyst - New York

Jobid bankofamerica-18003370NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**

The Senior Quantitative Finance Analyst role sits within our Counterparty Credit Risk Analytics team which is part of the broader Global Risk Analytics function at Bank of America Merrill Lynch. The team is split between London and New York, and has the remit to build, test, document and maintain simulation and pricing models used to quantify counterparty credit risk for credit risk limits and capital (RWA). The team works very closely with the FO CVA quant team and there is a deliberate effort to ensure model convergence across applications. The team is further responsible for general quantitative support in connection to trade support, trading platform migrations and other system changes.

Role Description:

+ Team lead for the New York team of modelers and developers

+ Support development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as back-testing methodology

+ Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.

+ Engagement with U.S. and overseas regulators in the context of regulatory enquiries and exams, providing support for model assumptions and behavior.


+ Post-graduate qualification, preferably to PhD level, in Statistics, Applied Mathematics or Econometrics

Required Skills:

+ Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA

+ Ability to express technical concepts clearly in written and spoken English

+ Programming skills: key languages are C++ and Python.

+ Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk-management principles.

+ Good team-working skills: a demonstrable track record of achieving high-quality results working in cross-functional and diverse teams.

**Posting Date** : 01/22/2018

**Location** :


- 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**

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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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Sr Quantitative Finance Analyst - New York

Bank of America
New York, NY

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Sr Quantitative Finance Analyst - New York

Bank of America
New York, NY

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