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Quantitative Finance Analyst

Bromley, , United Kingdom

Job Description:

Job Title: Quantitative Finance Analyst

LOB: Global Risk / Model Risk Management  

Corporate Title: Vice President

Location: Bromley

An opportunity has become available in Bromley for a Quantitative Finance Analyst to join the Counterparty and Credit Trading Model Risk Management group is a multi-national team within Enterprise Model Risk Management. The team consists of over 30 members, primarily based in US, UK and India.  It covers model risk management of Front Office (FO) pricing models for credit products and structured notes, Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). 

As part of model risk management activities, the team is working closely with model stakeholders for its covered models, including Front Line Units, model development teams, Market Risk, as well as Finance/PVG and other control functions.

Responsibilities:

  • The candidate is responsible to conduct model risk management for FO trading models covering credit products and structured notes valuation and risk management, margin models and counterparty credit risk models. In particular, the candidate is responsible to    Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

  • Perform independently testing to identify/quantify model risk associated with the model being validated

  • Prepare validation report and technical documents for the model being validated

  • Work closely with the model stakeholders (business, model developers, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes

  • Maintain a sub-portfolio of model inventory and perform annual model reviews, ongoing monitoring reviews, Required Actions Items and Recommendations closure, etc.

Core Skills:

  • Masters or PhD in quantitative fields such as mathematics, statistics, physics or equivalent

  • In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling

  • Confident coding ability in C++, Python or R is a plus

  • Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)

  • Experience working in model development and/or validation, with preference in credit and interest rate models

Bank of America

Every day, across the globe, our employees bring a commitment to our purpose and to driving responsible growth by living our values: deliver together, act responsibly, realize the power of our people and trust the team. A key aspect of driving responsible growth is doing so in a sustainable manner, a critical pillar of which is being a great place to work for our teammates.

In line with these values, in EMEA we have 9 Employee Networks, a wide range of Sports & Social clubs, and other development and networking opportunities so that you can enjoy a range of experiences and connect with colleagues across the bank. We also offer exclusive discounts to some of the most iconic cultural experiences for you to enjoy in your spare time outside of work. Learn more about our benefits here.

Good conduct and sound judgment is crucial to our long term success. It’s important that all employees in the organisation understand the expected standards of conduct and how we manage conduct risk. Individual accountability and an ownership mind-set are the cornerstones of our Code of Conduct and are at the heart of managing risk well.

We are an equal opportunities employer, and ensure that no applicant is subject to less favourable treatment on the grounds of gender, gender identity, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, socio-economic background, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.

We strive to ensure that our recruitment processes are accessible for all candidates and encourage any candidates to tell us about any adjustment requirements. As part of our standard hiring process to manage risk, please note background screening checks will be conducted on all hires before commencing employment.

Job Band:

H5

Shift: 

Hours Per Week:

35

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

Job Title: Quantitative Finance Analyst

LOB: Global Risk / Model Risk Management  

Corporate Title: Vice President

Location: Bromley

An opportunity has become available in Bromley for a Quantitative Finance Analyst to join the Counterparty and Credit Trading Model Risk Management group is a multi-national team within Enterprise Model Risk Management. The team consists of over 30 members, primarily based in US, UK and India.  It covers model risk management of Front Office (FO) pricing models for credit products and structured notes, Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). 

As part of model risk management activities, the team is working closely with model stakeholders for its covered models, including Front Line Units, model development teams, Market Risk, as well as Finance/PVG and other control functions.

Responsibilities:

  • The candidate is responsible to conduct model risk management for FO trading models covering credit products and structured notes valuation and risk management, margin models and counterparty credit risk models. In particular, the candidate is responsible to    Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated

  • Perform independently testing to identify/quantify model risk associated with the model being validated

  • Prepare validation report and technical documents for the model being validated

  • Work closely with the model stakeholders (business, model developers, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes

  • Maintain a sub-portfolio of model inventory and perform annual model reviews, ongoing monitoring reviews, Required Actions Items and Recommendations closure, etc.

Core Skills:

  • Masters or PhD in quantitative fields such as mathematics, statistics, physics or equivalent

  • In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models including interest rates and credit risk modelling

  • Confident coding ability in C++, Python or R is a plus

  • Being critical thinking, intellectually curious, detailed-oriented, well-organized, quick learning and a team player with good communication skills (both written and verbal)

  • Experience working in model development and/or validation, with preference in credit and interest rate models

Bank of America

Every day, across the globe, our employees bring a commitment to our purpose and to driving responsible growth by living our values: deliver together, act responsibly, realize the power of our people and trust the team. A key aspect of driving responsible growth is doing so in a sustainable manner, a critical pillar of which is being a great place to work for our teammates.

In line with these values, in EMEA we have 9 Employee Networks, a wide range of Sports & Social clubs, and other development and networking opportunities so that you can enjoy a range of experiences and connect with colleagues across the bank. We also offer exclusive discounts to some of the most iconic cultural experiences for you to enjoy in your spare time outside of work. Learn more about our benefits here.

Good conduct and sound judgment is crucial to our long term success. It’s important that all employees in the organisation understand the expected standards of conduct and how we manage conduct risk. Individual accountability and an ownership mind-set are the cornerstones of our Code of Conduct and are at the heart of managing risk well.

We are an equal opportunities employer, and ensure that no applicant is subject to less favourable treatment on the grounds of gender, gender identity, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, socio-economic background, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.

We strive to ensure that our recruitment processes are accessible for all candidates and encourage any candidates to tell us about any adjustment requirements. As part of our standard hiring process to manage risk, please note background screening checks will be conducted on all hires before commencing employment.

Learn more about this role

Full time

JR-21057117

Band: H5

Manages People:

Manager:

Talent Acquisition Contact:

Gail Danvers

Referral Bonus:

0

Street Address

Primary Location:
26 ELMFIELD RD, Bromley, BR1 1LR