Bank of America Sr Quantitative Fin Analyst in New York, New York
The Quantitative Financial Analyst will contribute to the Corporate Audit Model Risk team's enterprise-wide coverage of model risk. The candidate will assume the following responsibilities:
Audit entire model life cycle, i.e.development, validation, implementation, policies, governance, and use. Model uses include calculate derivatives prices, valuation adjustments, CCAR, etc.
Interview business partners in various lines of business and control functions to understand relevant aspects of model development, validation, governance, and use.
Evaluate model documentation / validation reports and document results
Assess the remediation of regulator and audit identified issues
Provide quantitative modeling consultation to other audit teams and engage with business partners in ensuring effective model risk management across the bank
Responsible for working independently on complex model audit
Coaching junior staff members
Enterprise role overview:
Responsible for independently conducting quantitative analytics and modeling projects. Responsible for developing new models, analytic processes or systems approaches. Creates documentation for all activities and works with Technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.
Master's or Ph.D. in a quantitative discipline such as mathematics, statistics, operations research, physics, or economics.
Experience advanced mathematical techniques including some of the following: stochastic calculus, finite difference methods, Monte Carlo simulation, etc
Sound organizational, analytical, quantitative, oral, and written communication skills.
Ability to work well with and communicate with others, from teammates to executives, and to present findings to upper level management and executives.
Ability to manage multiple work efforts and to quickly change direction as needed.
Experience in one of R, SAS, C++, MatLab, Java
Quantitative financial experience, i.e. model development, model risk, or model audit
Posting Date : 01/03/2017
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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