Bank of America is looking to solve issues related to the monitoring and analysis of risk models to ensure their accuracy and effectiveness in managing financial risk.
Requirements
- Developing model performance analytical toolset by utilizing programming skills in Python
- Driving improvements to model performance assessment tool set across all business areas through data pipeline aggregation, automation work, development of utilities, and enhancement of visualization tools
- Monitoring complex financial models, and performing quantitative analysis to model results and limitations regularly with determined statistical metric or threshold
- Performing in-depth statistical analysis on model performance using quantitative tools of benchmarking, calibration monitoring, and sensitivity analysis.
Responsibilities
- Monitor and perform in-depth quantitative analysis on the bank’s risk model results and limitations with determined statistical metric or threshold, using various quantitative tools such as back testing, benchmarking, calibration monitoring, and sensitivity analysis.
- Build processes to support model monitoring routines, perform statistical model testing, analyze model test results, and perform risk assessment for model performance issues.
- Support the daily process around model monitoring process and maintenance, execution and exception analysis liaising with stakeholders to diagnose model performance issues.
- Work with the model development team to understand our model implementation and assess the impact of model limitations on our monitoring results.
- Pull together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required.
- Drive incremental improvement to our model performance assessment toolset across all business areas through automation work, development of utilities, and enhancement of visualization tools, by utilizing programming skills in Python.
- Develop model performance analytical toolset by utilizing programming skills in Python.
Other
- Master's degree or equivalent in Finance, Statistics, Mathematics, Financial Engineering, or related
- 2 years of experience in the job offered or a related Quantitative occupation.
- Communicate the results of analysis to all model stakeholders including risk management, model development, model risk, senior management governing committees and regulatory bodies.
- Remote work may be permitted within a commutable distance from the worksite.
- 1st shift (United States of America)
