VP, Quantitative Finance: Pricing Models & Risk Analytics

Bank of America; Atlanta (GA); Hybrid; USD 120,000 - 180,000; Full time

Job summary

Bank of America is seeking a Quantitative Analyst to conduct analytic and modeling projects for risk management and pricing. The role emphasizes extending QF pricing libraries, validating models, and collaborating with Model Risk Management to document model details per standards.

The position requires a Master’s degree in a quantitative field and at least two years of relevant experience, with strong programming in C++ and Python.

Qualifications

• Master's degree or equivalent in Quantitative & Computational Finance, Applied mathematics, Statistics, Finance, or related.
• 2 years of experience in the job offered or a related Quantitative occupation.
• Developing and utilizing financial models and their extensions, including stochastic and statistical modeling theory.
• Designing and implementing object-oriented programming techniques in the construction of analytics libraries.
• Conducting model calibration with respect to optimization theory.
• Using backward pricing for financial products and derivatives, such as fixed income and mortgage products.
• Performing risk analysis and attributing for modeling results.

Responsibilities

• Research and apply quantitative techniques in finance, applied mathematics, and computer science to solve market-driven pricing and risk management problems.
• Refine and extend the Quantitative Finance (QF) C++ and Python pricing libraries to ensure accuracy, efficiency, and robustness.
• Troubleshoot issues that arise in the overnight process for valuing the MSR Asset and Hedge Asset portfolios.
• Participate in code reviews to ensure high-quality coding standards are maintained in our pricing libraries.
• Collaborate with Model Risk Management operations to test model implementations and to document model details per Bank standards.
• Research methods of extending the QF group of models to refine and improving ability to serve the overall Treasury group.
• Remote work may be permitted within a commutable distance from the worksite.

Skills

Modeling

Risk analysis

Backward pricing

Education

Master's degree or equivalent in Quantitative Finance/Applied Mathematics/Statistics/Finance

Tools

C++

Python

OO design

Job description

Bank of America is seeking a Quantitative Analyst to conduct analytic and modeling projects for risk management and pricing. The role emphasizes extending QF pricing libraries, validating models, and collaborating with Model Risk Management to document model details per standards.

The position requires a Master’s degree in a quantitative field and at least two years of relevant experience, with strong programming in C++ and Python.