Global Risk Analytics group at Bank of America Merrill Lynch is seeking a quantitative finance analyst to join our Global Market Risk Analytics team. The team’s primary responsibility includes (but not limited to) developments, improvements, and maintenance of initial margin models and VaR models, which covers all asset classes (e.g., equity, credit, rates, etc.) and broad spectrum of financial instruments. Candidate will work closely with model validators, front office quants, risk managers, and technology partners as part of ongoing modelling efforts. The candidate will have a great opportunity to contribute to both margin and VaR models.
Key responsibilities include, but are not limited to
Perform SIMM (Standard Initial Margin Model) performance testing by benchmarking against the firm’s VaR model and assess materiality of Risks Not in SIMM.
Develop a model to support business / risk needs by actively communicating and preparing model documentation / submission to model validators
Develop an analytical application / tools to support ongoing model maintenance (e.g., periodic model parameter updates) and to support business / risk needs.
Work closely with business / risk and technology to identify / address model weaknesses/limitations and implement improvement in technology platform.
Provide clear specs and/or prototypes for technology implementation and perform comprehensive and detailed testing to sign-off on implementation in line with developer’s expectation
Monitor model performance on an ongoing basis by closely working with model performance team.
Ph.D or Masters (with minimum 2 years of experience for Masters) in financial mathematics, physics, computer science, econometrics, or similar discipline
Solid understanding of derivatives pricing across different financial products
In-depth knowledge on time series analysis, statistical analysis and VaR
Strong Python programming skill
Proficient in MS office (incluing Excel, PowerPoint)
Superior owritten and oral communication skills
Well-organized; ability to deliver high quality outcome in time
Model developer experience at a big firm is a plus
Experience in initial margin models for SIMM, CCP, or prime brokerage is a big plus.
Experience in model documentation in Latex is a plus
Proficient SQL skill is a plus
1st shift (United States of America)
Hours Per Week: