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Quantitative Finance Analyst – Counterparty Credit Risk Analytics, Vice President

Bromley, , United Kingdom

Job Description:

Job Title: Quantitative Finance Analyst – Counterparty Credit Risk Analytics

LOB: Global Risk / Global Markets Risk Analytics

Corporate Title: Vice President

Location: Bromley

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.

Responsibilities:

  • Development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as backtesting methodology

  • Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.

  • Improvements to model development infrastructure, such as test harnesses, support utilities, visualization tools

  • 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.

  • Work in quantitative modelling on fixed income and/or commodity products on behalf of a global financial institution

  • Prepare developmental evidence and document to support internal and external exams

  • Identifying common themes across global markets along with improvement initiatives

  • Communicating the results 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 their being taken live

  • Driving incremental improvement to our model performance assessment tool set across all business areas

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 the Counterparty Credit Risk Analytics Quant (CCRAQ) team that provides, maintains, and monitors models, data, and tools related to counterparty credit risk (CCR) of traded products, including models focused on both bilateral counterparty and central counterparty clearing (CCP) risk. CCRAQ supports the Credit Risk and Wholesale communities in understanding the risk drivers of material changes in model outputs.

Core Skills:

  • Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field)

  • Proven experience working in quantitative modelling on fixed income or commodity products on behalf of a global financial institution

  • Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA

  • Ability to express technical concepts clearly in written and spoken English

  • Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles

  • Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles

  • 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 behaviour with capacity to seize initiative

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:

H4

Shift: 

Hours Per Week:

35

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

Job Title: Quantitative Finance Analyst – Counterparty Credit Risk Analytics

LOB: Global Risk / Global Markets Risk Analytics

Corporate Title: Vice President

Location: Bromley

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.

Responsibilities:

  • Development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as backtesting methodology

  • Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.

  • Improvements to model development infrastructure, such as test harnesses, support utilities, visualization tools

  • 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.

  • Work in quantitative modelling on fixed income and/or commodity products on behalf of a global financial institution

  • Prepare developmental evidence and document to support internal and external exams

  • Identifying common themes across global markets along with improvement initiatives

  • Communicating the results 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 their being taken live

  • Driving incremental improvement to our model performance assessment tool set across all business areas

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 the Counterparty Credit Risk Analytics Quant (CCRAQ) team that provides, maintains, and monitors models, data, and tools related to counterparty credit risk (CCR) of traded products, including models focused on both bilateral counterparty and central counterparty clearing (CCP) risk. CCRAQ supports the Credit Risk and Wholesale communities in understanding the risk drivers of material changes in model outputs.

Core Skills:

  • Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field)

  • Proven experience working in quantitative modelling on fixed income or commodity products on behalf of a global financial institution

  • Experience with mathematically sophisticated financial modelling, preferably in counterparty credit risk or XVA

  • Ability to express technical concepts clearly in written and spoken English

  • Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles

  • Up-to-date knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles

  • 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 behaviour with capacity to seize initiative

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-21070626

Band: H4

Manages People:

Manager:

Talent Acquisition Contact:

Gail Danvers

Referral Bonus:

0

Street Address

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