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Quantative Finance Analyst

Chicago, Illinois;

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 Market Risk Analytics Quant group (MRQ), which covers analytics and tools for all general market and specific risk models and methodologies subject to trading and banking books capital rules across Market Risk. Additionally, you will have the opportunity to gain experience across all areas covered including Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.


Overview of the Role

As a Quantitative Finance Analyst on Market Risk Analytics team, your responsibilities will involve:

• Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation
• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements
• Conduct analysis and verification on market data, risk metrics and P&L time series
• Prepare developmental evidence and document to support internal and external exams
• Perform analysis for VaR/RNiV model development, documentations/submissions and aid in addressing required action items raised by model risk management, issues from regulators, audit and model performance tests
• Perform statistical analysis on market historical data and model parameters
• Develop and support benchmarking and backtesting. Identify, analyze, explain any overages
• Identify common themes across global markets along with improvement initiatives
• Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Support model development in confirming remediation of model issues prior to their being taken live

Required Education, Skills, and Experience

• Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field) and 2+ years’ experience
• Working knowledge of risk or pricing models for fixed income or commodity products
• Understanding of regulatory capital and risk management framework and stress testing requirement
• Solid working experience in a related field (Market Risk, Middle Office)
• Broad financial product knowledge
• Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation
• Experience in data analysis, with excellent research and analytical skills
• Pro-active behavior with capacity to seize initiative
• 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

Desired Skills and Experience
• Past experience in IBOR transition / FRTB is a plus

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 Market Risk Analytics Quant group (MRQ), which covers analytics and tools for all general market and specific risk models and methodologies subject to trading and banking books capital rules across Market Risk. Additionally, you will have the opportunity to gain experience across all areas covered including Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.


Overview of the Role

As a Quantitative Finance Analyst on Market Risk Analytics team, your responsibilities will involve:

• Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation
• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements
• Conduct analysis and verification on market data, risk metrics and P&L time series
• Prepare developmental evidence and document to support internal and external exams
• Perform analysis for VaR/RNiV model development, documentations/submissions and aid in addressing required action items raised by model risk management, issues from regulators, audit and model performance tests
• Perform statistical analysis on market historical data and model parameters
• Develop and support benchmarking and backtesting. Identify, analyze, explain any overages
• Identify common themes across global markets along with improvement initiatives
• Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Support model development in confirming remediation of model issues prior to their being taken live

Required Education, Skills, and Experience

• Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field) and 2+ years’ experience
• Working knowledge of risk or pricing models for fixed income or commodity products
• Understanding of regulatory capital and risk management framework and stress testing requirement
• Solid working experience in a related field (Market Risk, Middle Office)
• Broad financial product knowledge
• Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation
• Experience in data analysis, with excellent research and analytical skills
• Pro-active behavior with capacity to seize initiative
• 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

Desired Skills and Experience
• Past experience in IBOR transition / FRTB is a plus

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-21065867

Band: H5

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Jillian Teeter

Referral Bonus:

0