Quantitative Finance Analyst

About the job
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!

Job Description:

This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

Responsibilities:
Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization
Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
Performing in-depth analysis on the bank’s risk model results using various quantitative tools such as backtesting, benchmarking, sensitivity analysis
Quantifying the impact of model limitations both in terms of firm level capital and name level exposure
Using this analysis to form an overall picture of model performance, identifying areas of under-performance and priorities for remediation
The Team:
Global Markets Risk Analytics (GMRA) is part of 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 Model Performance (MP) team. This team is responsible for monitoring and assessing the performance of all risk models used across Global Markets, supporting risk management in understanding the drivers behind material risk metric movement and the impact of model limitations, and working with the model development team to enhance and improve model accuracy and the overall performance of the analytics platform.

The primary focus will be on supporting performance monitoring of market risk models used for both capital and risk management purposes. The most significant part of the role will be performance analysis of the Value-at-Risk (VaR) model used to quantify the risk of market-driven trading book losses, but there will be additional exposure to other market risk models and the potential in future to work on other areas Counterparty Credit Risk and Prime Brokerage Risk.

Responsibilities:
Performing in-depth analysis on the bank’s risk model results using various quantitative tools such as backtesting, benchmarking, sensitivity analysis

Quantifying the impact of model limitations both in terms of firm level capital and name level exposure

Using this analysis to form an overall picture of model performance, identifying areas of under-performance and priorities for remediation

Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and regulators

Supporting model development in testing the impact of model changes and improvements on performance metrics

Continually improving our model performance assessment toolset, with a focus on improving the efficiency, automation and usability of the tools used day-to-day

Required Qualifications
Master’s degree, preferably in quantitative finance or a quantitative field
Solid working experience in a related field (Market Risk, Middle Office, Counterparty Credit Risk), ideally with exposure to model development experience
Experience in data analysis, with excellent research and analytical skills
Proven programming skills (Python preferred)
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
Skills:
Critical Thinking
Quantitative Development
Risk Analytics
Risk Modeling
Technical Documentation
Adaptability
Collaboration
Problem Solving
Risk Management
Test Engineering
Data Modeling
Data and Trend Analysis
Process Performance Measurement
Research
Written Communications
Shift:
1st shift (United States of America)
Hours Per Week: 
40