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Quantitative Finance Analyst – Market Risk Quant, Vice President

Bromley, , United Kingdom

Job Description:

Job Title: Quantitative Finance Analyst – Market Risk Quant, Vice President

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:

This position provides an excellent opportunity for a Market Risk Quants/Modeller to be at heart of BoFA’s model development for global trading activities. In this role the successful candidate will be responsible for critical regulatory deliverables involving complex market risk models. The role will require high degree of motivation and energy as well as high technical/analytical competencies to develop the next generation of Market Risk Models prescribed as part of Fundamental Review of the Trading Book.

  • Research, support, enhance and maintain risk models; design and develop in-house software for quantitative analysis

  • Work with existing market risk models and provide solutions where enhancements are identified or where new business needs require model enhancements

  • Develop methodologies and detailed model specifications required on various work streams for Fundamental Review of the Trading Book implementation within the Firm

  • This includes all components of FRTB IMA:

    • Expected Shortfall

    • Extending Risk Factor Coverage (reduction of RNIV) in VaR and ES

    • Non Modellable Risk Factor Framework (NMRF)

    • IMA eligibility tests for IMA and in particular the development of Risk Theoretical P&L and the overall set-up of the P&L Attribution framework

    • Risk Factor Eligibility Test (RFET)

  • Other components of FRTB SA:

    • Sensitivities Based Method (SBM)

    • RRAO (Residual Risk Add-On)

    • DRC (Default Risk Charge)

  • Define the necessary requirements about market data modelling that would enable the implementation of the market data standards prescribed in BCBS FTRTB guidelines as well as the official FRTB requirements included in CRR for EU

  • Comfortable in coordinating and driving technical conversations with FO Quants and other Functions in the firms that would need to be engaged as part of the effort to ensure the core methodology is supported by a brand new end-to-end/front-to-back business process that will evidence the observability of risk factors used in IMA

  • Required to have a robust knowledge of valuation and pricing of products across LOBs: such know-how will sustain it in defining the best strategy to gather necessary data to be used in RFET tests (accessing internal trade repositories and/or engaging with trade repositories from external providers

  • Ensure that models and methodologies being designed to accommodate the FRTB requirements are developed following an integrated approach to the one being designed as part of the effort to build a Strategic Full Revaluation based infrastructure

  • Understand the how FRTB requirements could potentially change across multiple jurisdictions and particularly focusing on US and UK version of such requirements

  • The role will offer the candidate an opportunity to specialise in market risk modelling in one or more asset classes and at the same time be part of a strategic effort to design the next generation of market risk models

  • Interacting confidently with other risk management teams, Front Office Quants, Risk, FO Technology as well as teams in Finance in order to implement the necessary requirements

  • Coordinate the Submission of Model Development Documentation to Independent Model Risk Management team

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.

Core Skills:

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

  • 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 behaviour 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 FRTB 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 – Market Risk Quant, Vice President

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:

This position provides an excellent opportunity for a Market Risk Quants/Modeller to be at heart of BoFA’s model development for global trading activities. In this role the successful candidate will be responsible for critical regulatory deliverables involving complex market risk models. The role will require high degree of motivation and energy as well as high technical/analytical competencies to develop the next generation of Market Risk Models prescribed as part of Fundamental Review of the Trading Book.

  • Research, support, enhance and maintain risk models; design and develop in-house software for quantitative analysis

  • Work with existing market risk models and provide solutions where enhancements are identified or where new business needs require model enhancements

  • Develop methodologies and detailed model specifications required on various work streams for Fundamental Review of the Trading Book implementation within the Firm

  • This includes all components of FRTB IMA:

    • Expected Shortfall

    • Extending Risk Factor Coverage (reduction of RNIV) in VaR and ES

    • Non Modellable Risk Factor Framework (NMRF)

    • IMA eligibility tests for IMA and in particular the development of Risk Theoretical P&L and the overall set-up of the P&L Attribution framework

    • Risk Factor Eligibility Test (RFET)

  • Other components of FRTB SA:

    • Sensitivities Based Method (SBM)

    • RRAO (Residual Risk Add-On)

    • DRC (Default Risk Charge)

  • Define the necessary requirements about market data modelling that would enable the implementation of the market data standards prescribed in BCBS FTRTB guidelines as well as the official FRTB requirements included in CRR for EU

  • Comfortable in coordinating and driving technical conversations with FO Quants and other Functions in the firms that would need to be engaged as part of the effort to ensure the core methodology is supported by a brand new end-to-end/front-to-back business process that will evidence the observability of risk factors used in IMA

  • Required to have a robust knowledge of valuation and pricing of products across LOBs: such know-how will sustain it in defining the best strategy to gather necessary data to be used in RFET tests (accessing internal trade repositories and/or engaging with trade repositories from external providers

  • Ensure that models and methodologies being designed to accommodate the FRTB requirements are developed following an integrated approach to the one being designed as part of the effort to build a Strategic Full Revaluation based infrastructure

  • Understand the how FRTB requirements could potentially change across multiple jurisdictions and particularly focusing on US and UK version of such requirements

  • The role will offer the candidate an opportunity to specialise in market risk modelling in one or more asset classes and at the same time be part of a strategic effort to design the next generation of market risk models

  • Interacting confidently with other risk management teams, Front Office Quants, Risk, FO Technology as well as teams in Finance in order to implement the necessary requirements

  • Coordinate the Submission of Model Development Documentation to Independent Model Risk Management team

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.

Core Skills:

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

  • 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 behaviour 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 FRTB 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-21070627

Band: H5

Manages People:

Manager:

Talent Acquisition Contact:

Gail Danvers

Referral Bonus:

0

Street Address

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