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