at BANK OF AMERICA NA in Chicago, Illinois, United States
Job Description
DUTIES: Support margin prediction, SA-CCR capital optimization and general risk rebalancing routines for the counterparty portfolio management and Global Markets team, with the establishment of business processes and controls needed to help reduce capital and funding cost by reducing initial margin, RWA and predict liquidity movement within the quantitative services team. Develop models for central counterparty clearing affecting interest rate derivatives portfolios and focus on reducing the bank’s leverage ratio by controlling the effective national exposure. Build models to prioritize trades that need to be optimized based on the highest reduction in BASEL III RWA. Include both solo and blended optimizations for cleared trade populations and conduct post analysis. Work directly with the front office and technology teams on issues discovered through technology testing and daily control procedures. Create models and complete analyses to price margins of OTC and fixed income derivatives. Utilize technical skills with VBA, SQL, and Python to build financial models or automate processes. Utilize machine learning models, including linear regression and decision tree algorithms, for collateral and liquidity forecasting. Apply mathematical or statistical techniques to solve practical issues in finance, including derivative valuation, risk analysis, or financial market regulation. Perform financial risk analysis, including counterparty credit risk and market risk using VAR models. Remote work may be permitted within a commutable distance from the worksite.
REQUIREMENTS: Master’s degree or equivalent in Financial Mathematics, Statistics, Financial Engineering, or related; and 5 years of experience in the job offered or a related quantitative occupation. Must include 5 years of experience in each of the following: Creating models and completing analyses to price margins of OTC and fixed income derivatives; Utilizing technical skills with VBA, SQL, and Python to build financial models or automate processes; Utilizing machine learning models, including linear regression and decision tree algorithms, for collateral and liquidity forecasting; Applying mathematical or statistical techniques to solve practical issues in finance, including derivative valuation, risk analysis, or financial market regulation; and, Performing financial risk analysis, including counterparty credit risk and market risk using VAR models.
Req#24009209. 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
