Bank of America Quantitative Finance Analyst in Chicago, Illinois

Job Description:

Bank of America Merrill Lynch is looking for a Quantitative Financial Analyst in its Model Risk Management team. The successful candidate will work on the validation of market risk models.

Responsibilities:

  • Work closely with model developers and risk management groups

  • Critically review the underlying theory, assumptions, limitations, implementation and performance of the models

  • Identify and quantify associated model risk

  • Perform thorough testing of models, including implementation verification, performance testing, stress testing and alternative assumptions testing

  • Analyze results of ongoing monitoring of model performance

  • Prepare model validation reports and other technical documents

Required Skills:

  • PhD in a quantitative field such as mathematics, physics, engineering or operations research

  • Very strong mathematical and modeling skills

  • Knowledge of derivatives pricing theory a strong plus

  • Knowledge in statistics or time series econometrics a plus

  • Strong communication skills (written and verbal)

  • Strong programming skills (C++ or Python a plus)

  • Strong aptitude for independent critical thinking, including a healthy skepticism and intellectual curiosity

  • Effective team player

  • Hard working and detail oriented, “can-do” attitude

Posting Date : 08/15/2017

Location : US-IL-Chicago, US-NY-New York

Travel : Yes, 5% of the time

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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