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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: Assistant Vice President

Location: Bromley

The Counterparty and Credit Trading Model Risk Management team are looking for a Quantitative Finance Analyst to join their established team in Bromley.

The group is a multi-national team within Enterprise Model Risk Management with well-established presence in the US, UK and India. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). Model validators receive exposure to cross-asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging across interest rates, FX, commodity, inflation, equity, credit and collateral modelling.

The candidate will work closely with front office quants and Global Risk Analytics model developers, as well as Finance/GVG, Market Risk, Counterparty Risk and other control functions.

The group encourages cross-training and internal talent development using the resources provided by the bank.  Candidates may expect working both on individual assignments as well as on collaborative projects in multi-regional groups in an environment where intellectual curiosity, critical thinking and attention to detail are critical for success.

Responsibilities:

  • Validate XVA system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling

  • 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, 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, on-going monitoring reviews, Required Actions Items closure and etc.

Core Skills:

  • A PhD degree in quantitative fields such as mathematics, statistics, physics or equivalent. 

  • Candidates with Masters' degree in same fields with 2+ years of industry experience will be considered

  • 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 Python or R, knowledge of LaTeX document preparation system  is a plus

  • An experience with  communicating technical questions, verbally and in writing, to non-technical audience is a plus

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: Assistant Vice President

Location: Bromley

The Counterparty and Credit Trading Model Risk Management team are looking for a Quantitative Finance Analyst to join their established team in Bromley.

The group is a multi-national team within Enterprise Model Risk Management with well-established presence in the US, UK and India. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). Model validators receive exposure to cross-asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging across interest rates, FX, commodity, inflation, equity, credit and collateral modelling.

The candidate will work closely with front office quants and Global Risk Analytics model developers, as well as Finance/GVG, Market Risk, Counterparty Risk and other control functions.

The group encourages cross-training and internal talent development using the resources provided by the bank.  Candidates may expect working both on individual assignments as well as on collaborative projects in multi-regional groups in an environment where intellectual curiosity, critical thinking and attention to detail are critical for success.

Responsibilities:

  • Validate XVA system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling

  • 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, 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, on-going monitoring reviews, Required Actions Items closure and etc.

Core Skills:

  • A PhD degree in quantitative fields such as mathematics, statistics, physics or equivalent. 

  • Candidates with Masters' degree in same fields with 2+ years of industry experience will be considered

  • 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 Python or R, knowledge of LaTeX document preparation system  is a plus

  • An experience with  communicating technical questions, verbally and in writing, to non-technical audience is a plus

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-21057118

Band: H5

Manages People:

Manager:

Talent Acquisition Contact:

Gail Danvers

Referral Bonus:

0

Street Address

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