Quantitative Finance Analyst

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. 

The Market Risk Quants (MRQ) team within Global Risk Analytics (GRA) organization is responsible for the development and enhancement of market risk models and analytical tools.
The team's remit spans market risk models for internal risk management, market risk capital requirements for Internal Model Approach (IMA) approved Legal Entities within Basel 2.5 regulatory framework, and IMA and Standardized Approach (SA) for upcoming FRTB regulatory framework, stress testing such as CCAR, EST, ICAAP, Recovery and Resolution Planning, and Climate Risk.

As a quantitative model developer in MRQ team, you will be responsible for:

• Develop and enhance quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation in current Basel 2.5 (e.g. VaR, Stressed VaR, Risks Not in VaR) and/or upcoming FRTB (e.g. Standard Approach, Expected Shortfall, Non-modellable risk factor, Risks Not in Model) regulatory framework

• Develop and enhance quantitative risk models, analytics and applications for the firm’s Stress Testing including CCAR

• Develop model performance monitoring metrics such as benchmarking, backtesting as part of continuous efforts to identify and remediate potential model weakness.

• Closely work with Global Markets Risk (GMR) and Front-Line Units (FLU) trading desks for internal risk management, Enterprise Capital Management (ECM) for market risk capital requirements, technology partners for model implementation, front-office pricing model quant developers, and Model Risk Management (MRM) for model risk oversight.

• Perform quantitative analysis in preparation of exams, regular dialogues with supervisory regulators across the globe.

Required Qualifications:

• Advanced degree in quantitative fields such as Mathematics, Financial Mathematics/Engineering, Quantitative Finance, Statistics, Econometrics, Physics, computer science, or equivalent and 2+ years of industry experience.

• Programming skills, preferably in Python, or equivalent object-oriented programming

• Experience in or willingness to learn derivatives pricing and/or statistical analysis of financial data, time series information.

Desired Qualifications:

• Experience in market risk models such as FRTB Standard Approach (SA), FRTB Internal Model Approach (IMA), Value at Risk (VaR), Risks Not in VaR (RNiV), and Stress Testing.

• Attention to details and ability to analyze problems independently with intellectual curiosity.

• Strong written and verbal communications.

• Ability to deliver quality outcomes in a timely manner in a fast-paced environment.

Shift:

Hours Per Week: