At Bank of America, models are used for a broad range of activities, including but not limited to valuation, risk management, capital and liquidity planning, stress testing, underwriting and other strategic or day-to-day decision-making purposes. Bank of America recognizes the risk and uncertainty associated with the use of its models and the need to effectively manage this risk both at an individual level and in the aggregate.
The Model Risk Management (MRM) Team provides oversight for model risk across Bank of America's model inventory. The MRM Team independently validates and challenges newly-developed and existing models; is responsible for model risk assessments, limits and monitoring; communicates issues identified through validations to relevant businesses and governance and control functions; and escalates model use breaches and remediation plans to relevant governance committees.
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.
Enterprise Model Risk Management seeks a Quantitative Analyst to conduct independent testing and review of models used for credit scoring and risk rating feeding regulatory and economic capital processes for wholesale credit. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.
General responsibilities include:
•Assessing conceptual foundations of a model, model specification, underlying assumptions, limitations, variable selection, underlying data, developmental evidence, documentation.
•Challenging model assumptions and approach as needed.
•Proposing and executing model validation tests.
•Developing code to replicate results and conduct independent testing.
•Verifying accuracy of model implementation.
•Assessing quality of model outputs through back testing against realized outcomes, benchmarking against alternative models and other relevant tests.
•Conducting ongoing model monitoring.
•Writing thorough technical reports for distribution and presentation to senior management, model developers, and audit and bank regulators. Maintaining accurate records in the banks model risk management system
•PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics, Computer Science / Machine Learning, or related field
•Experience developing or validating models that rely on artificial intelligence and machine learning techniques
•2-5 year’s relevant experience
•Strong knowledge of financial instruments and financial risk management principles.
•Deep understanding and knowledge of model performance measures.
•Minimum 2 years of experience in financial risk modeling or validation.
•Strong programming skills using Matlab, R and/or SAS.
•Experience in risk management or quant group in a bank, financial institution or vendor.
•Ability to communicate clearly and effectively.
•Ability to produce high quality technical documentation.
•Ability to problem solve
•PhD in a quantitative field
•Experience in computational, engineering or scientific research or development roles.
•Experience in wholesale credit
•Experience with risk rating/risk scoring models
Shift:1st shift (United States of America)
Hours Per Week:40
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