9 hours

Quantitative Financial Analyst - Counterparty Model Risk Management

Bank of America
Charlotte, NC
  • Job Code
Company Bank of America

Job Title Quantitative Financial Analyst - Counterparty Model Risk Management

Jobid bankofamerica-17066461CharlotteNC

Location: Charlotte, NC, 28230, USA

Description **Job Description:**

Bank of America - Merrill Lynch is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management primarily based in New York and London. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.

Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups. Candidate will report to the London team head of Counterparty Model Risk Management.


+ Validate XVA models developed by front office model developers and IMM/CCR models developed by Global Risk Analytics. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling

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

+ Perform independently testing to identify/quantify model risk associated with the model being validated

+ Prepare validation report and technical documents for the model being validated

+ Work closely with the business, Market Risk, Finance/PVG and other control functions with respect to compensating controls of the models and communication of validation outcomes

+ Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure


+ 2+ years of quantitative modelling experience in counterparty models or derivatives pricing models in a major trading or investment firm

+ PhD or Master degree in quantitative fields such as mathematics, statistics or equivalent

+ Broad hands-on experience and expertise in quantitative finance for cross-asset classes with in depth understanding of financial mathematics including stochastic differential equations, probability theory, and derivatives modelling.

+ Well organized, detail-oriented with good communication skills (both written and verbal)

+ Coding ability in C++ and Python is a plus

+ Strategic Thinking: Business knowledge, Innovation & Creativity

+ Business Results: Analytical ability, Execution

+ People Leadership: Collaboration and team work

+ People Effectiveness: Strong Communication Skills, Energy & drive

**Posting Date** : 09/28/2017

**Location** :


- United States

**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 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**

Need to know how to apply online, view a list of your submitted job applications or reset your password? Visit our FAQ at http://careers.bankofamerica.com/us/faq section for answers to these questions and more.


  • Financial Services

Before you go...

Our free job seeker tools include alerts for new jobs, saving your favorites, optimized job matching, and more! Just enter your email below.

Share this job:

Quantitative Financial Analyst - Counterparty Model Risk Management

Bank of America
Charlotte, NC

Share this job

Quantitative Financial Analyst - Counterparty Model Risk Management

Bank of America
Charlotte, NC

Separate email addresses with commas

Enter valid email address for sender.

Join us to start saving your Favorite Jobs!

Sign In Create Account
Powered ByCareerCast