Bank of America Quantitative Finance Analyst - Counterparty Model Validation - New York, NY in New York, New York
Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the companys global banking and global markets businesses.
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Bank of America Merrill Lynch offers a number of outstanding career opportunities designed to attract and retain all skill levels a chance for both personal and professional development as well as a salary and benefit package designed to reflect the individuals contribution.
Bank of America Merrill Lynch is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and other commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation (""Investment Banking Affiliates""), including, in the United States, Merrill Lynch, Pierce, Fenner & Smith Incorporated, which is a registered broker-dealer and a member of FINRA and SIPC, and, in other jurisdictions, locally registered entities. Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed
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.
Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
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 modelling
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 outcome
Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure
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 : 12/21/2016
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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