Bank of America Quantitative Services Professional (UMR) - Chicago, IL in Chicago, Illinois

Job Description:

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.

Responsibilities:

  • 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

Required:

  • 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

Desired:

  • 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

Location :

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

  • United States

Travel : No

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

Assistance for Applicants with Disabilities

Bank of America is committed to ensuring that our online application process provides an equal employment opportunity to all job seekers, including individuals with disabilities. If you believe you need a reasonable accommodation in order to search for a job opening or to submit an application, please visit the Applicants with Disabilities page at http://careers.bankofamerica.com/us/applicants-with-disabilities .

Diversity & Inclusion

At Bank of America, our commitment to diversity and inclusion is helping us to create not only a great place to work, but also an environment where our employees, our customers and our communities around the world can reach their goals and connect with each other. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.

Frequently Asked Questions

Need to know how to apply online, view a list of your submitted job applications or reset your password? Visit our FAQ at http://careers.bankofamerica.com/us/faq section for answers to these questions and more.