Risk Quant – Quantitative Strategies & Data Group

Job Description:

At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. We do this by driving Responsible Growth and delivering for our clients, teammates, communities and shareholders every day.

Being a Great Place to Work is core to how we drive Responsible Growth. This includes our commitment to being an inclusive workplace, attracting and developing exceptional talent, supporting our teammates’ physical, emotional, and financial wellness, recognizing and rewarding performance, and how we make an impact in the communities we serve.

Bank of America is committed to an in-office culture with specific requirements for office-based attendance and which allows for an appropriate level of flexibility for our teammates and businesses based on role-specific considerations.

At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us!
 

We are looking for a highly skilled and analytical Risk Quant to join the Quantitative Strategies & Data Group within Global Markets. The team develops Python-based solutions on the Bank’s strategic platform, Quartz, and provides independent review and challenge of risk and PnL calculations. The team works across all asset classes (Rates / Commodity / Credit / FX / Equity) and collaborates with Quant, Risk and Front Office Technology teams to deliver strategic and regulatory programmes, including FRTB IMA, VaR, Strategic Risk and PnL, etc.. The role offers strong exposure to market risk methodologies, regulatory requirements and data testing frameworks.

Responsibilities:

• Design, develop, implement, and maintain market models (e.g. VaR) to ensure accurate measurement of risk exposures across trading books, in line with regulatory and internal governance requirements
• Support the implementation of risk data testing frameworks to assess the appropriateness, completeness and reasonableness of risk scenarios, VaR, expected shortfall and stress test calculations. This includes testing scenario design, implementation, results consolidation, and analyses of calculations to understand key drivers
• Investigate and categorise data anomalies and inconsistencies in risk outputs
• Produce clear and structured risk validation reports, highlighting key findings, model code changes required and other recommendations for data quality improvement
• Partner with Quant developers, Risk and Tech teams to ensure that the solutions are aligned with regulatory expectations and internal governance standards

Required Qualifications and Skills:

• Masters/PhD level in Finance, Economics or a quantitative subject (Mathematics, Statistics, Physics, Engineering, Computer Science or other analytical background)
• Proficient in Python, SQL, C++ and other
• Understanding of: VaR (full revaluation vs grid-based methodologies), stressed VaR and Expected Shortfall, PnL Explain (HPL / RTPL), and Regulatory capital requirements including FRTB IMA.
• Experience working in a Quant, Risk or Risk Tech team on regulatory programs (e.g. FRTB SA or IMA)
• Knowledge of derivative products and valuation concepts, and experience working across various asset classes (Rates / Commodity / Credit / FX / Equity)
• Excellent analytical and problem-solving skills
• Strong communication skills, with the ability to articulate complex quantitative concepts clearly
• We welcome applications from junior candidates with at least 2 years of financial markets experience, as well as from more experienced professionals