Job Description:
About Us
At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. Responsible Growth is how we run our company and how we deliver for our clients, teammates, communities and shareholders every day.
One of the keys to driving Responsible Growth is being a great place to work for our teammates around the world. We're devoted to being a diverse and inclusive workplace for everyone. We hire individuals with a broad range of backgrounds and experiences and invest heavily in our teammates and their families by offering competitive benefits to support their physical, emotional, and financial well-being.
Bank of America believes both in the importance of working together and offering flexibility to our employees. We use a multi-faceted approach for flexibility, depending on the various roles in our organization.
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Global Business Services
Global Business Services delivers Technology and Operations capabilities to Lines of Business and Staff Support Functions of Bank of America through a centrally managed, globally integrated delivery model and globally resilient operations.
Global Business Services is recognized for flawless execution, sound risk management, operational resiliency, operational excellence and innovation.
In India, we are present in five locations and operate as BA Continuum India Private Limited (BACI), a non-banking subsidiary of Bank of America Corporation and the operating company for India operations of Global Business Services
Process Overview:
The team in India is an extension of Bank of America's Global Risk Organization. India team provides analytical and technological support to the Model Risk Management desk.
Job Description:
The bank is looking for a quantitative finance analyst in the Global Markets (GM) Model Risk Management team. GM Model risk management team covers all aspects of model validation and model risk of front office derivative pricing and risk models. This includes market risk models (VaR, RNIV etc.), Credit/Funding Value Adjustment (XVA) models, counterparty credit risk (CCR) models including IMM models, IRC models, margin models, etc. The team covers OTC derivatives across asset classes ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage.
The candidate will work specifically on validating Rates & FX pricing models. The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
Responsibilities:
- Validate bank's pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics for Rates and FX derivatives.
- Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
- Perform independent testing, scenario analysis and back-testing to identify/quantify model risk associated with the model being validated
- Prepare validation report and technical documents for the model being validated
- Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
- Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.
Requirements:
- Education: Masters or Ph.D. degree in Statistics, Mathematics, Financial Mathematics, Economics, Computational Finance, Engineering Physics etc. Top tier - IITs, NITs, Indian Statistical Institutes, IIMs etc.
- Certifications (preferred but not mandatory): FRM, CFA etc.
- Experience Range: 5 - 7 years
- Foundational skills:
- Minimum of 2 or more years of experience in the quantitative modeling and/or validation field
- Strong Quantitative skills -
- In depth understanding of financial mathematics including stochastic calculus, probability theory and time-series modeling
- Strong knowledge of financial instruments in one or more asset classes and financial risk management principles
- Knowledge of complex OTC derivative products and underlying risks
- Strong Written and Oral Communication
- Ability to follow up with issues and summarize discussions
- Ability to communicate clearly, effectively, and work well with people at all levels
- Attention to details
- Willingness to learn
- Strong work ethic
- Team player
- Desired skills:
- Strong coding ability in Python, C++ or R is a plus
- Experience in derivatives pricing/risk models in one or more asset classes is a plus
- Experience in LaTeX
- Speaking / presentation skills in a professional setting
Work Timings: 12 PM - 9 PM IST
Job Location: Mumbai