Job Description

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 Market Risk Model Risk Management team. It covers all aspects of model validation and model risk of market risk models developed by Global Risk Analytics for one or more asset classes. The team covers market risk models across asset classes of over-the-counter derivatives ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
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 banks market risk models developed by Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
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 IITs, NITs, Indian Statistical Institutes etc.
Certifications (preferred but not mandatory): FRM, CFA etc.
Experience Range: 5-7 years

Foundational skills: Strong Experience in the quantitative modeling and/or validation field
Strong Quantitative skills
Strong knowledge of financial, mathematical and statistical theories and practices, and a deep understanding of the modeling process, model performance measures, and model risk. Knowledge on derivative pricing and risk models is preferred. 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 derivatives pricing/risk models in one or more asset classes 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