Senior Quantitative Risk Analyst – Valuation & Model Risk

Bank of America; Paris; On-site; EUR 140,000 - 210,000; Full time

Benefits offered by this job

Health plan

Life and disability insurance

Medical plan top-up

Commuter pass reimbursement

Maternity/paternity leave

Employee assistance

Job summary

Bank of America in Paris is seeking a Senior Quantitative Finance Analyst to lead model risk oversight of valuation models and trading book models in the EU.

Based in Paris, you will collaborate with ECB/ACPR, oversee AVA methodologies and model validation, and drive improvements in valuation practices. A PhD/Master’s in a quantitative field is required, with extensive financial modelling experience.

Qualifications

• PhD or Master’s degree in Mathematics, Physics, Quantitative Finance or Engineering.
• Significant experience in model risk management, validation or quantitative modelling at a financial institution with AVA/pricing focus.
• Solid understanding of prudent valuation, valuation adjustments and fair value measurement.
• Knowledge of EU prudential regulation for trading books and market risk models.
• Excellent written and verbal communication; able to present complex topics to senior/non-technical audiences.
• Hands-on experience with valuation models, AVA methodologies, IVP/valuation control frameworks.
• Experience with ECB/SSM or national authorities, including on-site inspections or investigations.
• LaTeX and Git/Bitbucket knowledge.

Responsibilities

• Lead independent challenges on valuation models and AVA methodologies.
• Serve as senior model risk contact for ECB/ACPR and governance routines.
• Lead end-to-end testing, results consolidation and reporting of valuation models.
• Set quantitative work priorities aligned with the bank’s strategy.
• Provide methodological and analytical guidance to development/validation projects.
• Communicate submission and validation outcomes with stakeholders.

Skills

Quantitative analysis

Model risk management

Valuation models

AVA methodologies

Regulatory knowledge

Communication

Education

PhD or Master’s in a quantitative field

Tools

LaTeX

Git/Bitbucket

Job description

Bank of America in Paris is seeking a Senior Quantitative Finance Analyst to lead model risk oversight of valuation models and trading book models in the EU.

Based in Paris, you will collaborate with ECB/ACPR, oversee AVA methodologies and model validation, and drive improvements in valuation practices. A PhD/Master’s in a quantitative field is required, with extensive financial modelling experience.