Bank of America is looking to solve problems related to counterparty credit risk modeling, platform support, and model enhancement to meet regulatory and internal requirements.
Requirements
- Analyzing and evaluating large and complex economic and financial datasets with analytical tools of Python, SQL and R;
- Using big data technologies SQL to handle large volumes of data produced by complex financial risk models;
- Analyzing portfolio risk with derivative pricing and stochastic calculus in order to estimate losses of traded products within margined portfolios;
- Implementing testing of financial models for use in model validation submissions.
Responsibilities
- Develop, test, document, and maintain counterparty credit risk model, including risk factor simulation models, pricing models, aggregation models as well as back testing methodology.
- Support the counterparty credit risk platform, including investigation and resolution of model-related system issues and practical quantitative support to model users.
- Perform model enhancement, performance testing and documentation to remediate internal and external requirements.
- Analyze and evaluate large and complex economic and financial datasets with analytical tools of Python, SQL and R.
- Use big data technologies SQL to handle large volumes of data produced by complex financial risk models.
- Analyze portfolio risk with derivative pricing and stochastic calculus in order to estimate losses of traded products within margined portfolios.
- Implement testing of financial models for use in model validation submissions.
Other
- Master's degree or equivalent in Finance, Statistics, Mathematics, Financial Mathematics, or related
- 1 year of experience in the job offered or a related Quantitative occupation.
- Remote work may be permitted within a commutable distance from the worksite.
