Job Description:

Overview of Global Risk Analytics
Bank of America 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.
Based in Jersey City, this role sits within Market Risk Analytics group, which is responsible for providing quantitative and analytics support to GMR on the Market Risk VaR models. Additionally, you will have the opportunity to gain experience across all areas covered including Counterparty Credit Risk, Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.
Overview of the Role
Objective of this role is to deliver the operational capabilities, governance framework and obtain international regulatory approvals on regulations such as ECB TRIM, PRA and Basel Rules.
Main responsibility for this role is to develop market risk models (model development, submission, production roll-out).
As a Quantitative Finance Analyst, your responsibilities will involve:
• Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation
• 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
• 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 in-depth analysis on the bank’s risk model results using various quantitative tools such as back testing, bench-marking and sensitivity analysis
• 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
Overview of Role
Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

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: **