Bank of America Sr. Quantitative Finance Analyst - Counterparty Risk, Chicago, IL in Chicago, Illinois
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Bank of America - Merrill Lynch is looking for a senior quantitative finance analyst in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York and London. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.
Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups. Candidate will report to the Head of Counterparty Model Risk Management.
Validate XVA models developed by front office model developers and IMM/CCR models developed by Global Risk Analytics. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
Perform independently testing to identify/quantify model risk associated with the model being validated
Prepare validation report and technical documents for the model being validated
Work closely with the business, Market Risk, Finance/PVG and other control functions with respect to compensating controls of the models and communication of validation outcomes
Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure
6+ years of quantitative modelling experience in Counterparty Models or related area in a major trading or investment firm
PhD in quantitative fields such as mathematics, statistics or equivalent and 5 + yrs of experience preferred or MS and 8 years of experience
Broad hands-on experience and expertise in quantitative finance for cross-asset classes with in depth understanding of financial mathematics including stochastic differential equations, probability theory, interest rates and credit risk modelling.
Well organized, detail-oriented with good communication skills (both written and verbal)
Strong coding ability in C++ and Python is a plus
Posting Date : 04/11/2018
Chicago, IL, 135 S LA SALLE ST (IL4135),
- United States
Travel : Yes, 5% of the time
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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