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Senior Quantitative Finance Analyst - New York, NY

Bank of America

New York, NY
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Job Details

Company Bank of America

Job Title Senior Quantitative Finance Analyst - New York, NY

Jobid bankofamerica-16032992NewYorkNY

Location: New York, NY, 10176, USA

Description **Job Description:**

Job Specific Description:

Bank of America Merrill Lynch is seeking to employ a Model Risk Senior Quantitative Analyst to work on the validation, risk management and control of models used and developed by the FX model development team.

The successful candidate will be responsible for the validation of the FX models, reporting to the model risk management asset class head. He will work closely with the front office model developers and other support partners, in particular M arket R isk, Finance and M iddle O ffice.

General Job Description:

Review, test and implement derivatives pricing models utilizing knowledge of probability theory, derivative pricing theory, stochastic calculus and various programming languages including C++ and Python. Analyze all aspects of model risk. Use experience and market/product knowledge to identify and assess the appropriateness of the models key underlying assumptions and limitations. Create documentation for all activities.

Responsibilities may include:

+ Validating models used in FX, short and long dated, involving also interest rates modeling

+ Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.

+ Reviewing and testing FX front office pricing models for various exotic products

+ Model risk management of existing models in terms of on-going monitoring, stress testing and annual model reviews

+ Develop benchmark models in C++ for model review and model risk management purposes.

+ Documenting validation activities, with follow ups for identified modeling issues

+ Liaising with the different stakeholders to discuss the results of reviews and implementations

+ Help on maintaining model inventory and conducting ongoing model performance monitoring

Required Skills

+ Masters , PhD or foreign equivalent in Computational Finance, Mathematics, Physics or related degree.

+ 2+ years experience in financial markets.

+ Familiarity with exotic FX derivatives is a must.

+ The candidate must have graduate-level research experience or coursework in the following: derivatives modeling; stochastic calculus; Partial Differential Equations; Probability; Monte Carlo Methods; C++.

+ Strong oral and written communication skills

Desired Skills:

+ Previous experience of developing and testing models in Python

+ Strong experience in derivatives pricing models

**Posting Date** : 12/21/2016

**Location** : US-NY-New York

**Travel** : Yes, 5% of the time

**Full / Part-time** : Full time

**Hours Per Week** : 40

**Shift** : 1st shift

**Assistance for Applicants with Disabilities**

Bank of America is committed to ensuring that our online application process provides an equal employment opportunity to all job seekers, including individuals with disabilities. If you believe you need a reasonable accommodation in order to search for a job opening or to submit an application, please visit the Applicants with Disabilities page at .

**Diversity & Inclusion**

At Bank of America, our commitment to diversity and inclusion is helping us to create not only a great place to work, but also an environment where our employees, our customers and our communities around the world can reach their goals and connect with each other. All qualified applicants will receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status.

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Success begins with building relationships.

At Bank of America, our customers are at the center of everything we do. Our focus is on helping each one find the right financial solutions. With a wide range of career opportunities available, we invite you to realize your career goals with us while assisting customers with what matters most to them.

Welcome to Careers at Bank of America.

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