Quantitative Finance Analyst

at  Bank of America

JOB DESCRIPTION:

Job Title: Quantitative Finance Analyst
Corporate Title: AVP or VP
Location: Bromley

SKILLS THAT WILL HELP:

• Experience with communicating technical questions, verbally and in writing, to non-technical audience is a plus.
• Strong coding ability in Python or R, knowledge of LaTeX document preparation system would be advantageous

As a Quantitative Finance Analyst you will;

• Validate XVA and Counterparty Credit Risk system models and feeder models of bank’s counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independently testing to identify/quantify model risk associated with the model being validated
• Prepare validation report and technical documents for the model being validated
• Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
• Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.