Bank of America Finance Valuation - New York in New York, New York

Job Description:

Please note this role can be filled as a Valuation Specialist or a Valuation Analyst depending on the experience.

Valuation Specialist on the Americas Global Valuation Group (GVG) Methodology team at Bank of America Merrill Lynch. GVG is part of the Global Banking and Markets CFO group, providing valuation and independent price verification (IPV) guidance/support to Global Banking and Markets Finance. This position will be primarily focused on Global Rates, but not limited to this area.

Key Responsibilities:

  • Work with the Business Finance & Control Group to support interest rate exotics and manage the testing and valuation of the America Interest Rates derivative portfolio

  • Work with products including CMS Linear, CMS Digital, Leveraged Steepener, Berm/Accreter, AutoCall, and mid-curve Swaption

  • Support price verification and improve the valuation adjustment methodology for the HJM model

  • Use technical and managerial skills to make decisions on price-testing desk prices, determine model appropriateness or limitations, and confirm market data accuracy

  • Interact with financial markets and traders with a focus on fixed income derivatives in the USD market

  • Work with Risk, Quant, and financial modelers, and apply expertise in structuring and volatility models to accomplish relevant tasks

  • Perform programming and develop new Python tools for Totem submission and price verification

Valuation Specialists possess a broad knowledge of financial markets and products with a quantitative background suitable for critically evaluating the results of control procedures applied.

Required skills :

  • Bachelor’s degree in Quantitative Finance, Financial Engineering, Physics, Maths or related

  • Six years of progressive experience or related

  • Alternatively, Master’s degree in Quantitative Finance, Financial Engineering, Physics, Maths or related plus three years of experience or related

  • Experience withinterest rate products including bonds, swaps, swaptions, caps, bermudan swaptions

  • Experience with modeling for IR Exotics pricing including HJM and BGM

  • Experience with price verification based on Totem service and Broker quote

  • Experience with valuation adjustment and model deficiency

  • Experience with Risk and Profit and Loss of Exotic products

Desired skills :

  • ​Experience withCMS Linear and Digital spread options, Mid-Curve Swaption, Leveraged Steepener, Berm/Accreter and AutoCall, Monte Carlo simulation, programming in VBA, Python, Matlab and C+ Posting Date : 05/08/2018

Location :

New York, NY, 250 VESEY ST (NY3004),

  • United States

Travel : No

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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