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Quantitative Financial Analyst

17 Aug 2022 2:58 PM | Anonymous member (Administrator)

Position Title: Quantitative Financial Analyst

Location: New York City/ Jersey City, NJ (Remote)

Position Summary:
Overview of Global Risk Analytics

Bank of America Merrill Lynch has an opportunity for a Quant Financial Analyst within our Global Risk Analytics (GRA) function. GRA is a sub-line of business within Global Risk Management (GRM).  GRA is responsible for developing a consistent and coherent set of models and analytical tools for effective risk and capital measurement, management and reporting across Bank of America. GRA partners with the Lines of Business and Enterprise functions to ensure that its models and analytics address both internal and regulatory requirements, such as quarterly Enterprise Stress Testing (EST), the annual Comprehensive Capital Analysis and Review (CCAR), and the Current Expected Credit Losses (CECL) accounting standard.  GRA models follow an iterative and ongoing development life cycle, as the bank responds to the changing nature of portfolios, economic conditions and emerging risks.  In addition to model development, GRA conducts model implementation, data management, model execution and analysis, forecast administration, and model performance monitoring. GRA drives innovation, process improvement and automation across all of these activities.  

Overview of the Team

Global Markets Risk Analytics (GMRA) is part of Global Risk Analytics (GRA). It responsible for developing, maintaining, and monitoring counterparty credit risk and market risk models. GMRA also develops analytical tools to support regulatory, audit, and internal risk management needs for Global Markets. 
This role sits within Market Risk Analytics Quant group (MRQ), which covers analytics and tools for all general market and specific risk models and methodologies subject to trading and banking books capital rules across Market Risk. Additionally, you will have the opportunity to gain experience across all areas covered including Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.

Overview of the Role

The position provides an excellent opportunity for a Market Risk Quant to be at heart of BoFA’s model development for global trading activities. In this role the successful candidate will be responsible for critical regulatory deliverables involving complex market risk models. The role will require high degree of motivation and energy as well as high technical/analytical competencies to develop the next generation of Market Risk Models prescribed as part of Fundamental Review of the Trading Book.

Your main responsibilities will involve:

  • Developing market risk quantitative library to implement aspects of the VaR as well as FRTB models
  • Development, testing, documentation and maintenance of market risk models
  • Supporting of the market risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users
  • Independently conducting quantitative analytics and modeling projects
  • Developing new models, analytic processes or systems approaches
  • Interfacing with Regulators and effectively communicate the model effectiveness. In addition, there will be opportunity to participate in Industry forums to discuss and influence potential policy decision related to IMA models
  • Creating documentation for all activities and works with Technology staff in design of any system to run models developed
  • Possess excellent quantitative/analytic skills and a broad knowledge of financial markets and products
  • The successful candidate will play a critical role within the streams driving the effort to design and implement the VaR framework and the FRTB requirements in adherence with internal as well as Regulatory expectations. In particular:
    • Research, support, enhance and maintain risk models; design and develop in-house software for quantitative analysis
    • Work with existing market risk models and provide solutions where enhancements are identified or where new business needs require model enhancements
    • Develop methodologies and detailed model specifications required on various work streams for Fundamental Review of the Trading Book implementation within the Firm
    • This includes all components of FRTB IMA
      • Expected Shortfall
      • Extending Risk Factor Coverage (reduction of RNIV) in VaR and ES
      • Non Modellable Risk Factor Framework (NMRF)
      • IMA eligibility tests for IMA and in particular the development of Risk Theoretical P&L and the overall set-up of the P&L Attribution framework
      • Risk Factor Eligibility Test (RFET)
    • But also the other components of FRTB SA
      • Sensitivities Based Method (SBM)
      • RRAO (Residual Risk Add-On)
      • DRC (Default Risk Charge)
  • In this context the resource will be required to define also the necessary requirements about market data modelling that would enable the implementation of the market data standards prescribed in BCBS FTRTB guidelines as well as the official FRTB requirements included in CRR for EU
  • The resource would be relatively comfortable in coordinating and driving technical conversations with FO Quants and other Functions in the firms that would need to be engaged as part of the effort to ensure the core methodology is supported by a brand new end-to-end/front-to-back business process that will evidence the observability of risk factors used in IMA
  • The resource would be required to have a robust knowledge of valuation and pricing of products across LOBs: such know-how will sustain it in defining the best strategy to gather necessary data to be used in RFET tests (accessing internal trade repositories and/or engaging with trade repositories from external providers
  • The resource will also likely to ensure that models and methodologies being designed to accommodate the FRTB requirements are developed following an integrated approach to the one being designed as part of the effort to build a Strategic Full Revaluation based infrastructure
  • The resource would be required to understand the how FRTB requirements could potentially change across multiple jurisdictions and particularly focusing on US and UK version of such requirements
  • The role will offer the candidate an opportunity to specialize in market risk modelling in one or more asset classes and at the same time be part of a strategic effort to design the next generation of market risk models
  • The resource will interact confidently with other risk management teams, Front Office Quants, Risk, Front Office Technology as well as teams in Finance in order to implement the necessary requirements.
  • The candidate will be responsible to coordinate the Submission of Model Development Documentation to Independent Model Risk Management team

Required Qualifications:
Required Education, Skills, and Experience

  • Master's degree or PhD required (preferably in Mathematics, Statistics, Physics or related field) and 2+ years’ experience
  • Working knowledge of risk or pricing models for fixed income or commodity products
  • Understanding of regulatory capital and risk management framework and stress testing requirement
  • Solid working experience in a related field (Market Risk, Middle Office)
  • Broad financial product knowledge
  • Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation
  • Experience in data analysis, with excellent research and analytical skills
  • Pro-active behavior with capacity to seize initiative
  • Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions
  • Ability to multitask with excellent time management skills

Desired Skills and Experience

Past experience in IBOR transition / FRTB is a plus

How to Apply:
Please email resume to Erika Rivera at errivera@teksystems.com