Quantitative Finance Analyst

Bank of America

Key Responsibilities

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers.
• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization.
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation.
• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite.
• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk.
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes.
• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches.
• Develops new models, analytic processes, or systems approaches.
• Creates technical documentation for related activities.
• Works with Technology staff in the design of systems to run models developed.
• Pro-actively seeks out effective statistical estimation techniques required to model risk across the businesses supported.
• Pro-actively works with stakeholders across the business(es) to collect requirements and then develop and build modelling solutions to meet them.
• Implements the model using well written and well governed Python code.
• Produces clear and coherent technical documentation for internal and regulatory purposes.
• Promotes the adoption of, and personally meets, GRA best practices for model development, implementation and monitoring.
• Develops innovative approaches to modelling problems.

Requirements & Tech Stack

• SQL
• Python
• VBA
• LaTeX
• Statistical estimation techniques

Qualifications

• Highly numerical degree (Masters required; PhD level desirable) in Statistics, Financial Mathematics, Applied Mathematics, Economics, Physics or Engineering.
• Some experience in developing, documenting & maintaining risk and/or capital models and handling large datasets.
• Technical skills: Statistics, Probability Theory, Econometrics, Financial Mathematics.
• Strong programming skills.
• Strong technical writing and clear verbal communication skills.
• Experience of, and ability to work under pressure and deliver to tight deadlines.
• Ability to work independently, multitask and properly prioritize work.
• Curiosity and willingness to develop and work on new ways of modelling.
• Critical Thinking
• Quantitative Development
• Risk Analytics
• Risk Modeling
• Technical Documentation
• Adaptability
• Collaboration
• Problem Solving
• Risk Management
• Test Engineering
• Data Modeling
• Data and Trend Analysis
• Process Performance Measurement
• Research
• Written Communications
• Minimum Education Requirement: Master’s degree in related field or equivalent work experience.
• Broad knowledge of financial markets and products.

Desired Skills

• Experiences in the areas of financial risk modelling, loss forecasting etc. preferred.
• Knowledge of regulatory guidelines including CCAR, DFAST, CECL, ICAAP.
• Strong stakeholder engagement skills with an ability to work with colleagues in other functions (business, risk and model validation).
• Organized, practical and execution focused with some project management experience.
• Self-motivated and intellectually curious about both the role, supporting technologies and the wider bank.
• Experience with LaTeX.