at BANK OF AMERICA NA in Chicago, Illinois, United States
Job Description
DUTIES: Apply intimate mechanics and financial mathematics of derivative valuation engine’s that provides risk, PV, and P&L output for the bank’s CVA, FVA-U and FVA-C. Validate model changes by providing analysis for P&L and Risk Coordinate with other business partners for the successful completion of projects. Provide in depth analysis for quality and timely project deliverables. Implement relevant project management practices (status reporting, issue tracking, etc.). Liaise with technology team to streamline processes and enhance data integrity and control. Implement improvements to the system infrastructure and control environment. Automate manual processes in programming languages like Python or SQL and perform in-depth impact analysis or scenario analysis of quantitative measurements using the Bank’s quantitative library, Global Derivative Analytics. Query large datasets utilizing Python-based infrastructure, analytics libraries, Toad/SQL, and other data sources and use results to conduct in-depth risk and P&L analyses for credit and funding measures. Quantify risk and exposure in various derivative categories such as Interest Rate, FX, or Commodity and Equity. Implement and Test Market Risk xVA models using Python, VBA, and SQL. Apply data analytics and reporting BI with large, complex data sets spanning transaction, risk and reference data. Understand complex valuation models and utilize them to engineer daily risk as well as ad-hoc risk management reports for portfolio management purposes. Remote work may be permitted within a commutable distance from the worksite.
REQUIREMENTS: Master's degree or equivalent in Finance, Economics, Engineering (Any), Mathematics, Statistics, 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: Quantifying risk and exposure in various derivative categories such as Interest Rate, FX, or Commodity and Equity; Implementing and Testing Market Risk xVA models using Python, VBA and SQL; Applying data analytics and reporting BI with large, complex data sets spanning transaction, risk and reference data; and, Understanding complex valuation models and utilizing them to engineer daily risk as well as ad-hoc risk management reports for portfolio management purposes.
Req#: 24004708 If interested apply online at www.bankofamerica.com/careers or email your resume to bofajobs@bofa.com and reference the job title of the role and requisition number. No phone calls. EOE.
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Job Posting:
11690726
Posted On:
Feb 20, 2024
Updated On:
Mar 28, 2024
