Senior Counterparty Risk Quant: Model Dev & Analytics

Bank of America; New York (NY); On-site; USD 125,000 - 210,000; Full time

Benefits offered by this job

Discretionary incentive eligible

Benefits package

Job summary

Bank of America in New York City is seeking a Counterparty Credit Risk Analytics Quant (CCRAQ) to independently conduct quantitative analytics and complex modeling projects. You will lead development of new models, support governance, and collaborate with technology teams to integrate code and run models.

The role requires advanced degrees and 5+ years in quantitative modelling within a global financial institution, with strong C++/Python skills and English communication.

Qualifications

• Master's degree or PhD required (preferably in Mathematics, Physics or related field) and 5+ years' experience working in quantitative modelling on behalf of a global financial institution.
• Experience with mathematically sophisticated financial modelling, for pricing or counterparty risk
• Ability to express technical concepts clearly in written and spoken English
• Programming skills: key languages are C++ and Python; a solid understanding of sound software development principles
• Ability to multitask with excellent time management skills
• Sense of focus and rigor in the completion of deliverables
• Pro-active behavior with capacity to seize initiative

Responsibilities

• Development, testing, documentation and maintenance of counterparty credit risk models: these will include risk factor simulation models, pricing models, aggregation models as well as backtesting methodology
• Support of the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.
• Improvements to model development infrastructure, such as test harnesses, support utilities, visualization tools
• Partner with internal groups including Capital, Risk, Technology, Model Risk Management and Market Risk Management on model enhancement, performance testing and documentation to remediate internal and external requirements.
• Work in quantitative modelling on fixed income and/or commodity products on behalf of a global financial institution
• Prepare developmental evidence and document to support internal and external exams
• Identifying common themes across global markets along with improvement initiatives
• Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators
• Supporting model development in confirming remediation of model issues prior to their being taken live
• Driving incremental improvement to our model performance assessment tool set across all business areas

Skills

C++

Python

Quantitative modelling

English proficiency

Education

Master's degree or PhD in Mathematics/Physics or related field

Job description

Bank of America in New York City is seeking a Counterparty Credit Risk Analytics Quant (CCRAQ) to independently conduct quantitative analytics and complex modeling projects. You will lead development of new models, support governance, and collaborate with technology teams to integrate code and run models.

The role requires advanced degrees and 5+ years in quantitative modelling within a global financial institution, with strong C++/Python skills and English communication.