Responsible for independently conducting quantitative analytics and complex modeling projects. Engaged in review and validation of new and existing models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in use of any system to run models developed. Incumbents possess excellent quantitative/analytic and communication skills.
The qualified candidate will join a team of analysts in the Model Risk Management (MRM) group and will be responsible for the independent review and validation of all Mathematical/Statistical models used by the mortgage group. The mortgage group ensures that all models reflect best modeling practices and comply with the FRB and OCC requirements, BAC enterprise and MRM policies/procedures.
The qualified candidate will work cross-functionally to enforce current model risk control procedures and apply his experience and skills to subject the models used by the mortgage group to effective challenge. The qualified candidate will also function as a subject matter expert to provide technical consultation to other analysts and to the MRM management for policy/procedure revisions/update.
The qualified candidate will join a group of highly skilled and experienced professionals bound by a strong commitment to high-quality work in a very collegial atmosphere.
Strong and diversified quantitative skills
Working knowledge of the main asset classes available on the market(equities, fixed-income securities, options)
Working knowledge of derivative financial instruments and the numerical methods used to price them
Working knowledge of stochastic processes and stochastic calculus/integration
Working knowledge of optimization techniques, regression techniques and Monte Carlo simulation
Ability to understand and communicate clearly and effectively at all levels
Ability to learn and adapt in an unexplored field, if necessary
Team player attitude
- Masters/Ph.D.-level degree in Quantitative Finance
- 5+ years relevant experience
- Strong programming skills in VBA, Matlab, C++/C#/Java and SAS
- Technical curiosity and interest in learning new skills.
Job number: 17064532