AVP; Quantitative Finance Analyst
Click the Facebook, Google+ or LinkedIn icons to share this job with your friends or contacts. Click the Twitter icon to tweet this job to your followers. Click the link button to view the URL of the job, which then can be copied and pasted into an e-mail or other document.
Chicago, IL 60661
DUTIES: Perform in-depth analysis on the banks market and counterparty risk model performance using various quantitative tools such as back-testing, benchmarking, sensitivity analysis. Support the VaR backtesting platform, including investigation and resolution of system issues and provide reports and quantitative support to key stakeholders. Quantify the impact of model limitations both in terms of firm level capital and name level exposure. Synthesize overall picture of model performance along with clear conclusions on overall accuracy and remediation areas as required. Communicate results of this analysis to 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. Drive improvements to our model performance assessment tool set across all business areas through automation work, development of utilities, and enhanced visualization tools. Apply knowledge of industry trends and developments, a commercial instinct, and an understanding of sound risk management principles. Understand financial and business rationale behind the credit risk and market risk models including Value-at-Risk, PE95, and other market and counterparty credit risk metrics. Test complex financial models such as derivative pricing models, cross asset correlation, aggregation models. Interpreting model results and limitations. Develop and improve model performance analytical toolset using programming skills including Python.
Ref#5042339 & submit resume to Bank of America N.A. 1114 Avenue of the Americas, New York, NY 10036. No phone calls or emails. EOE.