Bank of America Quantitative Finance Analyst in Chicago, Illinois
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.
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
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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