Bank of America Senior Quantitative Finance Analyst - GWIM Model Validation - New York, NY in New York, New York

Job Description:

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 all Mathematical/Statistical models 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

Hands-on experience in the design, implementation and testing of financial/pricing models

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:

  1. 5+ years of relevant hands-on modeling / testing experience

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

  3. Strong programming skills in VBA, Matlab, C++/C#/Java and SAS

  4. Technical curiosity and interest in learning new skills

Posting Date : 06/13/2017

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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