Job Description

We are a part of the Global Business Services which delivers technology and operations capabilities to Bank of America lines of business (LOB) and enterprise functions.

Our employees help our customers and clients at every stage of their financial lives, helping them connect to what matters most. This purpose defines and unites us. Every day, we are focused on delivering value, convenience, expertise and innovation for individuals, businesses and institutional investors we serve worldwide.

* BA Continuum is a nonbank subsidiary of Bank of America, part of Global Business Services in the bank.

Process Overview:
The team in India is an extension of Bank of Americas Global Risk Organization. India team provides analytical and technological support to the Model Risk Management desk.

:
Bank is looking for a quantitative finance analyst in the Counterparty Model Risk Management team. It covers all aspects of model validation and model risk of front office Credit/Funding Value Adjustment (XVA) models, margin models, and counterparty credit risk (CCR) models including counterparty Internal Method Models (IMM). The team covers cross asset classes of over-the-counter derivatives for XVA/CCR/IMM calculation ranging from interest rates, FX, commodity, inflation, equity, credit and collateral modeling.
Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups

Responsibilities:
Validate XVA system models and feeder models of banks counterparty systems developed by Quantitative Strategy Group and Global Risk Analytics, including all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit, Mortgage, as well as collateral exposure modelling.
Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
Perform independently testing to identify/quantify model risk associated with the model being validated
Prepare validation report and technical documents for the model being validated
Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure and etc.

Requirements:
Education: Masters or Ph.D. degree in Statistics and/or Mathematics and/or Financial Mathematics and/or Economics, Physics etc from top tier institutes IITs, NITs, Indian Statistical Institutes etc.
Certifications (preferred but not mandatory): FRM, CFA etc.
Experience Range: 5-7 years

Foundational skills: Strong Quantitative skills In depth understanding of financial mathematics including stochastic calculus and probability theory, as well as derivative pricing and risk models

Strong Written and Oral Communication
Attention to details
Willingness to learn
Strong work ethic
Team player

Desired skills: Strong coding ability in Python, C or R is a plus
Experience in credit derivatives (such as CDS, CDO, Risky bond, CLN, etc.) is a plus
Speaking / presentation skills in a professional setting
Strong design patterns skills to design and architecture the tool
Education: Any Graduate
Industry: Banking

Skills Required