Job Description:
At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. We do this by driving Responsible Growth and delivering for our clients, teammates, communities and shareholders every day.
Being a Great Place to Work is core to how we drive Responsible Growth. This includes our commitment to being a diverse and inclusive workplace, attracting and developing exceptional talent, supporting our teammates' physical, emotional, and financial wellness, recognizing and rewarding performance, and how we make an impact in the communities we serve.
At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us!
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The APAC Rates Quantitative Strategies Group team is looking for a Quantitative Strategist to be based in Tokyo to support the Japan rates business.
Responsibilities
- Implementation, enhancement and support of pricing models for the valuation and risk management of linear and non-linear interest rates derivatives (including hybrids).
- Build expertise in curve construction, volatility modeling, exotic product development and automation of pricing and risk tools.
- Extend in-house strategic data analytics applications.
- Provide robust solutions to analytic queries from Front Office and business partners.
- Work closely with Technology team to roll out enhancements into production
- Collaborate with other quant rates team globally.
Requirements
- Masters degree or higher in a quantitative field such as mathematics, engineering or physics is a pre-requisite.
- Solid knowledge of stochastic calculus, probability theory and good understanding of pricing models for interest rates derivatives.
- Familiarity with implementation of numerical methods.
- Strong coding skills in C++ and Python required.
- Excellent verbal and written communication skills with the ability to explain complex issues in an intuitive way.
- Prior work experience in a front-office quant/strat role desirable.
- Able to prioritize, react quickly and work under tight deadlines.
- Team player with strong integrity and maturity to work independently.