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Quantitative Counterparty Exposure Risk Specialist: Chicago, IL

Bank of America


Location:
Chicago, IL
Date:
08/22/2017
2017-08-222017-09-21
Job Code:
bankofamerica-17013153ChicagoIL
Bank of America
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Job Details

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Company Bank of America

Job Title Quantitative Counterparty Exposure Risk Specialist: Chicago, IL

Jobid bankofamerica-17013153ChicagoIL

Location: Chicago, IL, 60664, USA

Description **Job Description:**



Role Responsibilities:



+ Assist with the testing and validation of risk sensitivities through each technology release

+ Provide enhanced analysis on risk sensitivities to front office and operations teams when new measures or new counterparties on-boarded

+ Review and verify the risk sensitivities that are used for IM computation

+ Assess production risk results for errors

+ Identify and Establish control processes that will mitigate future risk calculation errors

+ Work directly with the front office and technology teams on issues discovered through technology testing and risk review

+ Validate and explain drivers of day over day changes in sensitivities to FO and technology

+ Work with technology teams to guide risk measure reporting and control requirements



Candidates in this role will:



+ Gain strong industry knowledge on the UMR program

+ Apply your analytical skills to solve UMR IM and risk sensitivity valuation issues

+ Deepen your OTC derivative knowledge in asset classes you may not have previous exposure to

+ Join a dedicated team of associates that embraces creative problem solving



Required Skills:



+ Master’s degree or higher in Finance, Economics or Quantitative field

+ Excellent communication skills

+ Strong technical skills including experience using Excel, VBA and SQL

+ Strong analytical skills

+ Understanding of Fixed Income and FX modeling

+ Experience working with OTC derivatives

+ Experience pricing OTC derivative products including futures, options, swaps, credit default swaps, forward rate agreements and swaptions

+ Knowledge of Financial Risk Management, Credit Risk Models, Value at Risk (VaR).

+ Strong knowledge of market & credit risk



Desired Skills:



+ Understanding of the collateral management process at large bank

+ Knowledge of CVA, FVA, regulatory capital requirements, and Independent Amount

+ Python programming experience and willing to learn Python

+ 3 years of experience working in a quantitative risk, middle office, or front office role



**Posting Date** : 03/14/2017



**Location** : US-IL-Chicago



**Travel** : No



**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 http://careers.bankofamerica.com/us/applicants-with-disabilities .



**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.



**Frequently Asked Questions**



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