Bank of America is looking to develop and maintain models for risk and loss measurement, including climate risk models, to address internal and regulatory requirements such as Enterprise Stress Testing (EST), Comprehensive Capital Analysis and Review (CCAR), and Current Expected Credit Losses (CECL). The role involves conducting quantitative analytics and complex modeling projects to better understand key drivers of risk and improve risk management capabilities.
Requirements
- Strong Programming skills e.g. R, Python, SAS, SQL or other languages
- Experience with LaTeX
- Experience with complex data architecture, including modeling and data science tools and libraries, data warehouses, and machine learning
- Ability to extract, analyze, and merge data from disparate systems, and perform deep analysis
- Experience developing and maintaining complex databases and data sets
- Experience implementing models into various production environments
- Experience using data mining and other advanced analytical techniques to aggregate data for model development and/or to produce management reporting
Responsibilities
- Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers
- Leads the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization
- Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation
- Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
- Leads and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
- Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches
- Developing best-in-class climate risk models, quantitative analysis and tools.
Other
- Masters or PhD degree in Math, Economics, Statistics, Engineering, Finance, Computer Science or similar discipline
- Strong analytical and problem-solving skills
- Effectively creates a compelling story using data; Able to make recommendations and articulate conclusions supported by data
- Effectively presents findings, data, and conclusions to influence senior leaders
- Ability to work in a large, complex organization, and influence various stakeholders and partners
