Quantitative Finance Analyst, Model Validation

Job Description:

At Bank of America, models are used for a broad range of activities, including but not limited to valuation, risk management, capital and liquidity planning, stress testing, underwriting and other strategic or day-to-day decision-making purposes. Bank of America recognizes the risk and uncertainty associated with the use of its models and the need to effectively manage this risk both at an individual level and in the aggregate.

The Model Risk Management (MRM) Team provides oversight for model risk across Bank of America's model inventory.  The MRM Team independently validates and challenges newly-developed and existing models; is responsible for model risk assessments, limits and monitoring; communicates issues identified through validations to relevant businesses and governance and control functions; and escalates model use breaches and remediation plans to relevant governance committees.

Enterprise Model Risk Management seeks a quantitative finance analyst to conduct independent testing and review of complex models. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.

Responsible for a broad range of model validation activities, including:

• Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation;

• Development and implementation of testing plans and testing code in order to challenge models through empirical analyses and to verify model implementation;

• Review and critical assessment of ongoing model monitoring activities;

• Writing of technical reports for distribution and presentation to model developers, senior management, and audit and banking regulators.

Qualifications

• PhD in a quantitative field such as Mathematics, Physics, Finance, Engineering or Statistics; or Master's degree in the same field with a minimum of two or more years of experience in financial risk modeling or validation
• Experience with cross-sectional and time-series econometrics
• Knowledge of model performance measures
• Extensive programming experience using SAS, R and/or MATLAB
• Experience working with large datasets
• Knowledge of financial instruments and financial risk management principles
• Ability to communicate clearly and effectively
• Ability to produce high quality technical documentation
• Strong verbal and written communication required

Shift:

1st shift (United States of America)

Hours Per Week: 

40