Job Highlights
Title Senior Quantitative Finance Manager
Type Full Time
Experience Required
Function Finance/Management
Location London, England, United Kingdom
Company Bank of America
Company Profile
Bank of America is one of the world’s largest financial institutions, serving individuals, small- and middle-market businesses, and large corporations with a full range of banking, investing, asset management, and other financial and risk management products and services.
Job Profile
The bank is hiring a Senior Quantitative Finance Manager who will be responsible for providing quantitative and analytics support to Global Markets Risk on the Market Risk Value at Risk models.
Additionally, you will have the opportunity to gain experience across all areas covered including Counterparty Credit Risk, Prime Brokerage, UMR-SIMM, and IRC/CRM.
Educational Level
* PhD (preferred) or MSc Degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
Work Experience
* Experience in developing FO pricing models or market risk models
* Work experience in IBOR/SOFR/ESTER/FRTB
Duties/Responsibilities
* Communicate the results of this to all model stakeholders including risk management, model development, model risk, senior stakeholders, and regulators
* Conduct analysis and verification of market data, risk metrics, and P&L time series
* Develop and support benchmarking and backtesting. Identify and explain any overages
* Develop quantitative risk models, analytics, and applications in support of market risk assessment and regulatory capital calculation
* Identify common themes across global markets along with ideas to improve
* Partner with internal groups including Capital, Risk, Technology, Model Risk, and Market Risk on model enhancement, performance testing, and documentation to remediate internal and external requirements
* Perform analysis for VaR/RNiV model development, documentations/submissions, and aid in addressing required action items raised by model risk, issues from regulators, audit, and model performance tests
* Perform in-depth analysis of the bank’s risk model results using various quantitative tools such as backtesting, benchmarking, and sensitivity analysis
* Perform statistical analysis on market historical data and model parameters
* Prepare developmental evidence and documents to support internal and external exams
* Support model development in confirming remediation of model issues before their being taken live
Skills/Knowledge/Abilities
* Advanced programming skills in Python
* Communication both written and verbal, and collaboration skills at the highest level
* Effective thinking skills to be able to critique and identify/suggest/resolve issues
* In-depth understanding of Value at Risk and statistical estimation methods
* Solid understanding of derivatives pricing especially the IR option pricing models
Benefits/Perks
* 20 days of backup childcare including access to school holiday clubs and 20 days of backup adult care per annum
* Ability to donate to charities of your choice directly through payroll and the bank will match your contribution
* Access to an emotional wellbeing helpline, mental health first aiders, and virtual GP services.
* Access to an Employee Assistance Program for confidential support and help for everyday matters
* Competitive pension plan, life assurance, and group income protection cover if you become unable to work as a result of a disability or health reasons
* Opportunity to access our Arts and Culture corporate membership program and receive discounted entry to some of the UK’s most iconic cultural institutions and exhibitions.
* Opportunity to give back to your community, develop new skills, and work with new groups of people by volunteering in your local community.
* Private healthcare for you and your family plus an annual health screen to help you manage your physical wellness with the option to purchase a screen for your partner
* The ability to change your core benefits as well as the option of selecting a variety of flexible benefits to suit your circumstances including access to a well-being account, travel insurance, critical illness, etc.
Employer’s Statement
Bank of America (including affiliates) is an Equal Opportunity Employer. The bank considers all qualified candidates without regard to race, religious creed, religion, color, sex, sexual orientation, genetic information, gender, gender identity, gender expression, age, national origin, ancestry, citizenship, protected veteran or disability status, or any factor prohibited by law.
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