Bank of America Quantitative Services Professional (UMR) - Chicago, IL in Chicago, Illinois
Leads a large project or multiple projects that are significant in scope and impact. Works independently, with limited direction, and is evaluated through end results. May provide technical leadership. Interacts extensively with internal or external contacts to identify, research, analyze and resolve complex problems or to develop, sell or service significant revenue-generating products. Has extensive functional or professional knowledge.
Key Responsibilities: Develops financial modeling tools for derivative products, applying the theory and mathematics behind various models. Builds out analytical and technical tools for validations of new models/methodology. Provides in-depth impact analysis or scenario analysis of quantitative measurements. Develops reporting of various risk metrics complied with business and regulatory requirements. Understands financial products across all asset classes and has extensive knowledge of technical implementations. Possess advanced degree in physic, applied mathematics, statistics/probability or another heavy quantitative discipline.
The Quantitative Services (QS) UMR team is responsible for assisting the Counterparty Portfolio Management team with the establishment of business processes and controls needed to ensure the firm’s IM calculations are accurate and consistent with the Uncleared Margin Rules (UMR). The current opening is for an associate located in Chicago and will work in a team setting to ensure successful delivery of UMR and Risk Optimization deliverables.
Assist with the testing and validation of IM results through each technology release
Provide enhanced analysis and IM explains to front office and collateral operations teams when counterparty disputes arise on IA calculations
Review and verify the model inputs feeding the IM calculations and assess production IM results for errors
Work directly with the front office and technology teams on issues discovered through technology testing and model validation
Provide assessment of counterparty computed IM numbers for reasonableness
Conduct in-depth analysis of reasons for discrepancies in IM results between the firm and counterparty
Validate and explain drivers of day over day changes in IA to CPM and Collateral operations teams
Help with BAU functionality within team as required for the smooth operations of the QS Project team
Master’s degree or higher in Finance, Economics or Quantitative field
Excellent communication skills
Strong technical skills including experience using Excel, VBA and SQL
Strong analytical skills
Understanding of Fixed Income and FX modeling
Experience working with OTC derivatives
Experience pricing OTC derivative products including futures, options, swaps, credit default swaps, forward rate agreements and swaptions
Knowledge of Financial Risk Management, Credit Risk Models, Value at Risk (VaR)
Strong knowledge of market & credit risk
At least 3 years of experience working in a quantitative risk, middle office, or front office role
Understanding of the collateral management process at large bank
Knowledge of CVA, FVA, regulatory capital requirements, and UMR
Python programming experience
Posting Date : 08/08/2018
Chicago, IL, 135 S LA SALLE ST (IL4135),
- United States
Travel : No
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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