Bank of America Quantitative Finance Analyst, Global Market Risk in New York, New York
The Quantitative Finance Analyst is responsible for measuring counterparty credit risk (CCR) for all lines of businesses in the Americas Markets division covering all traded products (fixed income, currency, commodities, equities).
The analyst will join the Trade Analysis team which quantifies counterparty credit risk for derivatives and financing transactions. Though the role is based in New York, the analyst will be joining a global team with the chance to work on global projects and initiatives.
The Trade Analysis team is a business and credit facing team which provides counterparty credit risk metrics (potential exposure, initial margins, sensitivities, etc.) on live trades. The analyst will work across all asset classes (FX, rates, credit, and equity) and leverage existing models and tools to provide ad-hoc analysis on live trades. In addition, the analyst will be responsible for helping design and develop new ad-hoc methodologies for exotic trades which better capture counterparty risk. The analyst will also work on initial margin calculation for hedge fund derivative trades. In addition, the analyst will be responsible for assessing the adequacy of the initial margin calculations at CCPs.
The analyst will also be responsible for communication with credit officers and other stakeholders regarding portfolio impacts and communicating complex portfolio risk dynamics in an easy to understand manner. (S)he will also ensure that risk is captured properly in internal risk systems, provide training to credit risk officers, New Product Review (NPR) assessment, and participant in system testing for regulatory projects.
Master degree or PhD degree in a quantitative discipline or finance/economics with 2+ years’ experience with expertise in at least one asset class (FX, credit, rates, or equity)
Excellent knowledge of derivative products with approximately
Excellent knowledge of counterparty risk measurement techniques on derivatives and financing transactions
Experience interacting with trading, structuring and sales
Strong computer skills (Office, VBA, Bloomberg, SQL)
Strong communication skills both written and verbal
Good understanding of Monte Carlo models
Knowledge of CVA and related hedging strategies
Knowledge of CCP, Prime Brokerage, and Hedge Fund margin methodologies
Tool development in Java and/or Python
Familiar with Basel III concepts and metrics
Posting Date : 05/01/2018
New York, NY, Jones Lang Lasalle, 1133 Ave of the Americas,
- United States
Travel : No
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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