Bank of America CPM Quant Strat, QSG - ASC/VP in New York, New York
Role and Responsibilities:
CPM strat team requires additional FTE in order to support the day to day needs of the FVA, CVA, KVA, and IA desks. This includes the implementation of python based modules to produce explanations of risk, and pnl for different measures that the desks hedge. The desks hedge using both front office and exposure based analytics. They will hedge IR, Credit, FX, and equities risk. Additionally the candidate needs to support the build out of the CPM Target State infrastructure by CPM Tech, a replacement of the current risk platforms used by the desks. This involves the implementation of code for analytics, market data, and risk interfaces. It involves the creation of batches to run and validate those risks as well. Lastly, in order to facilitate all of the Strat work in the team, the candidate needs to contribute to the build out of the CPM Strat Platform. This involves the implementation of various apis to support tactical creation of risk and pnl reports in python
· Educated to Masters or Bachelors’ degree or equivalent
· Excellent programming skills in python
· Excellent business knowledge of the rates asset classes
· Excellent communication skills in order to express complicated techniques to CPM Technology
Posting Date : 05/22/2017
Location : US-NY-New York
Travel : No
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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