at BANK OF AMERICA NA in Chicago, Illinois, United States
Job Description
DUTIES: Independently code for analytics and complex modeling projects. Work on Python implementation of new models, analytic processes, or system approaches. Develop and implement statistical models, machine learning algorithms, and analytical libraries and tools. Participate in building out strategic model development infrastructure using Python and PySpark. Create documentation for all activities and work with technology staff in design of systems to run models. Influence strategic direction and software design while developing tactical plans. Work closely with modelers and other business partners to design, implement, and validate models under tight deadlines. Help increase the efficiency of the system design, making systems scalable. Develop and debug integration tests, unit tests, and regression tests for new IRS model launches. Identify root cause for swaption time value mismatches by debugging serialized files and by checking patterns on numbers. Interpolate curves in VBA, analyze margin behavior, and debug optimizing code for Swaption liquidity model in Matlab. Run Futures and Option models, from curve generation, scenario generation, greeks, PV, and PnL to margin. Remote work may be permitted within a commutable distance from the worksite.
REQUIREMENTS: Master's degree or equivalent in Finance, Mathematics, Statistics, Financial Mathematics, or related; and 3 years of experience in the job offered or a related quantitative occupation. Must include 3 years of experience in each of the following: Developing and debugging integration tests, unit tests, and regression tests for new IRS model launches; Identifying root cause for swaption time value mismatch by debugging serialized file and by checking patterns on numbers; Interpolating curves in VBA, analyzing margin behavior, debugging optimizing code for Swaption liquidity model in Matlab; and, Running Futures and Option models, from curve generation, scenario generation, greeks, PV, and PnL to margin.
Req.# 24003697. Job Site: Chicago, IL. If interested apply online at www.bankofamerica.com/careers or email your resume to bofajobs@bofa.com and reference te job title and requisition number. No phone calls. EOE.
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Job Posting:
11670598
Posted On:
Feb 13, 2024
Updated On:
Mar 19, 2024
