Job Description:

　　Overview of Global Risk Analytics

　　Bank of America Merrill Lynch has an opportunity for a Quantitative Finance Manager 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.

　　Based in New York, this role sits within Market Risk Analytics group, which is responsible for providing quantitative and analytics support to GMR on the Market Risk VaR models. Additionally, you will have the opportunity to gain experience across all areas covered including Counterparty Credit Risk, Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.

　　Overview of the Role

　　Objective of this role is to deliver the operational capabilities, governance framework and obtain international regulatory approvals on regulations such as ECB TRIM, PRA and Basel Rules.

　　Main responsibility for this role is to develop market risk models (model development, submission, production roll-out).

　　As a Quantitative Finance Manager, your responsibilities will involve:

　　• Develop quantitative risk models, analytics and applications in support of market risk assessment and regulatory capital calculation

　　• Perform analysis for VaR/RNiV model development, documentations/submissions and aid in addressing required action items raised by model risk management, issues from regulators, audit and model performance tests

　　• Perform statistical analysis on market historical data and model parameters

　　• Develop and support benchmarking and back testing. Identify, analyze, explain any overages

　　• 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

　　• Conduct analysis and verification on market data, risk metrics and P&L time series

　　• Prepare developmental evidence and document to support internal and external exams

　　• Perform in-depth analysis on the bank's risk model results using various quantitative tools such as back testing, bench-marking and sensitivity analysis

　　• Identify common themes across global markets along with improvement initiatives

　　• Communicate the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators

　　• Support model development in confirming remediation of model issues prior to their being taken live

　　Position Overview

　　Quantitative Finance Manager

　　Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

　　Required Education, Skills, and Experience

　　• PhD (preferred) or Master's degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent

　　• Solid 5+ years of work experience in developing FO pricing models or market risk models

　　• Advanced programming skills in Python with 5+ years of experience

　　• Solid understanding of derivatives pricing especially the IR option pricing models

　　• In depth understanding of Value at Risk and statistical estimation methods

　　• Strong communication (both written and verbal) and collaboration skills (this project involves communicating with various groups within the firm)

　　• Effective thinking skill to be able to independently and proactively identify/suggest/resolve issues

　　Desired Skills and Experience

　　• Work experience in IBOR/SOFR/ESTER/FRTB

　　Shift:

　　1st shift (United States of America)

　　Hours Per Week:

　　40