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Quantitative Finance Analyst

Jersey City, New Jersey

Job Description:

Overview of Global Risk Analytics

Bank of America Merrill Lynch has an opportunity for a Quantitative Finance Analyst within our Global Risk Analytics (GRA) function. GRA is a sub-line of business within Global Risk Management (GRM); GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard; GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks; In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities;


Overview of the Team

Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets.

This role sits within Model Performance team (MP), which is responsible for monitoring and assessing the performance of all risk models used across Global Markets – supporting risk management in understanding the drivers behind material risk metric movement, the impact of model limitations, and working with the model development team to enhance model accuracy and the overall performance of the analytics platform. Your primary focus will be on Market Risk VaR models and is an excellent opportunity to work in a fast growing, international team.

Overview of the Role

As a Quantitative Finance Analyst, your responsibilities will involve:
• Performing in-depth analysis on the Bank’s Value at Risk (VaR) model employed for market risk covering backtesting, benchmarking, sensitivity analysis

• Analysis involves largely assessing Hypothetical P/L against VaR, periodic movements in VaR, treatments of risk factors and methodology

• Executing and quantifying the impact of model limitations both in terms of firm level capital and business level exposure
• From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required and documenting in continual ongoing monitoring reports

• Identifying common themes across global markets along with improvement initiatives

• The role involves cross-interaction of Market Risk Managers, Model Developers, Model Validation, Finance, and Audit
• Communicating the results (monthly and quarterly) of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Supporting model development in confirming remediation of model issues prior to being taken live
• Driving incremental improvement to our model performance assessment toolset across all business areas

• Automating existing processes (largely through Python) and creating new analytical capabilities

Required Education, Skills, and Experience
• Master’s degree and above (or equivalent), preferably in economics, econometrics, mathematics, quantitative finance or a quantitative field
• Solid working experience (minimum 2 years +) in a related field (Market Risk, Finance (Product Control), Counterparty Credit Risk).

• Conceptual understanding of VaR (historical simulation (full reval and sensitivity/grid based), montecarlo), working knowledge and experience is advantageous
• Broad financial product knowledge
• Experience in data analysis, with excellent research and analytical skills
• Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) are advantageous
• Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
• Ability to multitask with excellent time management skills
• Sense of focus and rigor in the completion of deliverables
• Pro-active behavior with capacity to seize initiative

Job Band:

H5

Shift: 

1st shift (United States of America)

Hours Per Week:

40

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

Overview of Global Risk Analytics

Bank of America Merrill Lynch has an opportunity for a Quantitative Finance Analyst within our Global Risk Analytics (GRA) function. GRA is a sub-line of business within Global Risk Management (GRM); GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard; GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks; In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities;


Overview of the Team

Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets.

This role sits within Model Performance team (MP), which is responsible for monitoring and assessing the performance of all risk models used across Global Markets – supporting risk management in understanding the drivers behind material risk metric movement, the impact of model limitations, and working with the model development team to enhance model accuracy and the overall performance of the analytics platform. Your primary focus will be on Market Risk VaR models and is an excellent opportunity to work in a fast growing, international team.

Overview of the Role

As a Quantitative Finance Analyst, your responsibilities will involve:
• Performing in-depth analysis on the Bank’s Value at Risk (VaR) model employed for market risk covering backtesting, benchmarking, sensitivity analysis

• Analysis involves largely assessing Hypothetical P/L against VaR, periodic movements in VaR, treatments of risk factors and methodology

• Executing and quantifying the impact of model limitations both in terms of firm level capital and business level exposure
• From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required and documenting in continual ongoing monitoring reports

• Identifying common themes across global markets along with improvement initiatives

• The role involves cross-interaction of Market Risk Managers, Model Developers, Model Validation, Finance, and Audit
• Communicating the results (monthly and quarterly) of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Supporting model development in confirming remediation of model issues prior to being taken live
• Driving incremental improvement to our model performance assessment toolset across all business areas

• Automating existing processes (largely through Python) and creating new analytical capabilities

Required Education, Skills, and Experience
• Master’s degree and above (or equivalent), preferably in economics, econometrics, mathematics, quantitative finance or a quantitative field
• Solid working experience (minimum 2 years +) in a related field (Market Risk, Finance (Product Control), Counterparty Credit Risk).

• Conceptual understanding of VaR (historical simulation (full reval and sensitivity/grid based), montecarlo), working knowledge and experience is advantageous
• Broad financial product knowledge
• Experience in data analysis, with excellent research and analytical skills
• Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) are advantageous
• Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
• Ability to multitask with excellent time management skills
• Sense of focus and rigor in the completion of deliverables
• Pro-active behavior with capacity to seize initiative

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-21014833

Band: H5

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Jillian Teeter

Referral Bonus:

0

Street Address

Primary Location:
525 Washington Blvd, NJ, Jersey City, 07310