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Quantitative Finance Analyst

London, United Kingdom

Job number: 17071640

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Job Description:

Corporate Title: Up to Vice President

Location: London

Line of Business Global Markets Risk

Here in our London Office we are looking for a Quantitative Finance Analyst to join out Trade Analyst team.

The Quantitative Analyst is responsible for independently conducting quantitative analysis for counterparty exposure management. They will be responsible for reviewing CCCP (Central Clearing Counterparty)  initial margin and guarantee fund methodology. They will create documentation for all activities and work with Technology staff in design of any system enhancements  to capture counterparty credit exposure. Incumbents will possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products.

The analyst will join the Trade Analysis team which quantifies counterparty credit risk for derivatives and financing transactions.  Though the role is based in London, the analyst will be joining a global team with the chance to work on global projects and initiatives. The Trade Analysis team is a business and credit facing team which provides counterparty credit risk metrics (potential exposure, initial margins, sensitivities, etc.) on live trades.


  • Working across all asset classes (FX, Rates, Credit, Equity) and leveraging existing models and tools to provide ad-hoc analysis on live trades
  • Helping design and develop new ad-hoc methodologies for complex trades which better capture counterparty risk
  • Working on initial margin calculation for hedge fund derivative trades
  • Assessing the adequacy of the initial margin calculations at CCPs
  • Communication with credit officers and other stakeholders regarding portfolio impacts and communicating complex portfolio risk dynamics in an easy to understand manner
  • Ensuring that risk is captured properly in internal risk systems
  • Providing training to credit risk officers
  • New Product Review (NPR) assessment
  • Participation in system testing for regulatory projects


  • Excellent knowledge of derivative products with previous experience with expertise in at least one asset class (FX, credit, rates, or equity)
  • Excellent knowledge of counterparty risk measurement techniques on derivatives and financing transactions
  • Experience interacting with trading, structuring and sales
  • Excellent computer skills (Office, VBA, Bloomberg, SQL)
  • Solid communication skills both written and verbal
  • Good understanding of Monte Carlo models
  • Knowledge of CVA and related hedging strategies
  • Knowledge of CCP, Prime Brokerage, and Hedge Fund margin methodologies
  • Tool development in Java and/or Python
  • Familiar with Basel III concepts and metrics

About Bank of America Merrill Lynch
Bank of America Merrill Lynch provides comprehensive market, industry, product and advisory expertise to more than 140,000 businesses around the globe. With unrivalled insight and access delivered by dedicated relationship teams, we connect clients with the right opportunities in more than 150 countries throughout Europe, the Middle East and Africa, Asia Pacific and the Americas.
Bank of America Merrill Lynch’s Europe, Middle East and Africa (EMEA) footprint comprises of 32 cities across 23 countries on three continents. The company is a long-established participant in the European markets, with a presence since 1922. Currently over 14,000 associates are based in EMEA. Globally, Bank of America Merrill Lynch serves clients and customers in more than 150 countries and has relationships with 99 percent of the U.S. Fortune 500, nearly 96 percent of the Fortune Global 500 and 33 percent of the FTSE 100.  Today, the company offers an integrated and comprehensive set of products and services across all businesses, serving the needs of individual, corporate, institutional and government clients, by combining the best of local knowledge and international expertise. Bank of America Merrill Lynch has a strategic and measured approach to its international development and is strengthening its business and infrastructure to create sustainable, long-term growth.

If you are interested in this opportunity please send your details to us by applying online with your CV.

We are an equal opportunities employer, and seek to ensure that no applicant is subject to less favourable treatment on the grounds of gender, marital status, race, religion or belief, colour, nationality, ethnic origin, age, sexual orientation, gender reassignment, responsibilities for dependants and physical or mental disability. The Bank selects candidates for interview and placement based on their skill set and ability to meet genuine business requirements of a particular role.

Posting Date: 07/12/2017

- United Kingdom

Full / Part-time: Full time

Hours Per Week: 35

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