Bank of America Senior Quantitative Finance Analyst in New York, New York

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 excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

General Responsibilities:

Reviewing conceptual soundness of models, mathematical specification, underlying assumptions and limitations, variable selection, data.

  • Assessing adequacy of model documentation.

  • Reviewing empirical evidence.

  • Challenging model assumptions and approach as needed.

  • Developing code to replicate results and conduct independent testing.

  • Assessing quality of model outputs through back testing against realized outcomes, benchmarking against alternative models, sensitivity tests around assumptions and limitations, and other relevant tests.

  • Verifying model implementation.

  • Assessing model accuracy, conservatism and quantitative compliance with regulations.

  • Conducting annual review and ongoing monitoring of existing models.

  • Writing thorough technical reports for distribution and presentation to model developers, senior management, audit and bank regulators.

Required Qualifications

  • Master's or PhD degree in statistics, mathematics, finance, engineering, physics, economics or related field.

  • Background and experience in PD/EAD/LGD credit risk models for retail products (e.g. mortgage, credit card, auto loans) under the Advanced Approaches (A-IRB)

  • Knowledge of the Basel regulatory framework, US Basel III Final Rule, BCC 13-5, 14-3 and other regulatory requirements.

  • Familiarity with OCC 2011-12 / SR 11-7.

  • Expertise in econometrics (e.g. discrete response models, statistical distributions, panel data).

  • Strong knowledge of financial instruments and financial risk management principles.

  • Deep understanding and knowledge of model performance measures.

  • Minimum 10 years of experience in computational, engineering or scientific research or development roles.

  • Minimum 5 years of experience in financial risk modeling or validation.

  • Minimum 5 years of programming experience using SAS, R, and/or SQL.

  • Experience in risk management or quant group in a financial institution, vendor or regulator.

  • Ability to communicate clearly and effectively.

  • Ability to produce high quality technical documentation.

Posting Date : 01/03/2017

Location : US-NY-New York, US-NC-Charlotte

Travel : Yes, 5% of the time

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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