Bank of America Sr Quantitative Finance Analyst in Chicago, Illinois
Enterprise Model Risk Management seeks a senior quantitative finance analyst to conduct independent testing and review of complex consumer credit risk models with multiple uses, including CCAR credit loss forecasting and Basel regulatory capital. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.
The qualified candidate will be responsible for a broad range of model validation activities, including:
Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation
Development and implementation of effective testing plans and testing code to critically challenge models through empirical analyses and to verify model implementation
Review and critical assessment of ongoing model monitoring activities
Writing of technical reports for distribution and presentation to model developers, senior management, and audit and banking regulators.
Coaching of junior staff members while leading validation projects.
PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics or related field
Minimum of 6 years of experience in financial risk modeling or validation field
Background and experience with complex, loan-level PD/EAD/LGD models used for stress testing and other credit risk management purposes
Experience with retail products including mortgage, credit card and auto loans
Expertise in cross-sectional and time-series econometrics
Deep understanding and knowledge of model performance measures
Extensive programming experience using SAS, R and/or MATLAB
Expertise in analyzing and managing large databases
Strong knowledge of financial instruments and financial risk management principles
Familiarity with applicable regulatory guidance on model risk management, stress testing, and Basel requirements
Strong project management skills
Ability to communicate clearly and effectively, and influence others
Ability to produce high quality technical documentation
Posting Date : 04/12/2018
Atlanta, GA, Atlanta Plaza, 600 Peachtree St NE,
Chicago, IL, 135 S LA SALLE ST (IL4135),
- United States
Travel : Yes, 5% of the time
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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