Bank of America Quantitative Finance Analyst in Chicago, Illinois

Job Description:

Enterprise Model Risk Management seeks a quantitative finance analyst to conduct independent testing and review of complex consumer credit risk models with multiple uses, including CCAR credit loss forecasting and Basel regulatory capital. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.

The qualified candidate will be responsible for a broad range of model validation activities, including:

  • Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation;

  • Development and implementation of testing plans and testing code in order to challenge models through empirical analyses and to verify model implementation;

  • Review and critical assessment of ongoing model monitoring activities;

  • Writing of technical reports for distribution and presentation to model developers, senior management, and audit and banking regulators.

Qualifications

  • PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering or Physics

  • Master’s degree with 2 + years of relevant experience in financial risk modeling or validation

  • Experience with cross-sectional and time-series econometrics

  • Knowledge of model performance measures

  • Extensive programming experience using SAS, R and/or MATLAB

  • Experience working with large datasets

  • Knowledge of financial instruments and financial risk management principles

  • Ability to communicate clearly and effectively

  • Ability to produce high quality technical documentation

Posting Date : 02/12/2018

Location :

Chicago, IL, 135 S LA SALLE ST (IL4135),

Charlotte, NC, ONE BANK OF AMERICA CENTER, 150 N COLLEGE ST,

  • United States

Travel : Yes, 5% of the time

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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