Bank of America Sr Quantitative Finance Analyst - Mortgages and Securitization in New York, New York

Job Description:

  • Job Specific Description: Review and implement pricing models utilizing knowledge of probability theory, derivative pricing theory, stochastic calculus and various programming languages including VBA, Python and C++. Analyze all aspects of model and market risks. Use experience and market/product knowledge to identify and assess the appropriateness of the models’ key underlying assumptions. Derive models’ reserve requirements. Create documentation for all activities. Assist in the review of control procedures and development of written policies and procedures for risk management purposes. General Job Description: Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellentquantitative/analyticskills and are able to influence strategic direction, as well as develop tactical plans. Responsibilities may include:

  • Validate mortgages and securitization product pricing models developed by Front Office Quant Group.

  • Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.

  • Identify, quantify and follow model risk associated with the model being validated

  • Develop benchmark models for model review and model risk management purposes.

  • Prepare validation report and technical documents for the model being validated.

  • Assist market risk managers on trade approvals and finance on price verification methodologies.

  • Help on maintaining model inventory and conducting ongoing model performance monitoring Required Skills

  • Masters or foreign equivalent in Computational Finance, Mathematics, Statistics, Physics or related fields.

  • 2+ years’ experience in financial markets.

  • Familiarity with mortgages and securitization market and products.

  • Previous experience as either model developer or validator in mortgage rates, prepayments, delinquencies and foreclosures modeling is a must.

  • Comprehensive knowledge in statistical analysis; time series analysis; Markov chain transition models and predictive modeling.

  • Experienced in mathematical package SAS, Matlab or R.

  • The candidate must have graduate-level research experience or coursework in the following: derivatives modeling; stochastic calculus; Partial Differential Equations; Statistics; Probability; Real Analysis; Numerical Analysis; Monte Carlo Methods. Desired Skills:

  • PhD or foreign equivalent in Computation Finance, Mathematics, Statistics, Physics or related degree

  • Strong oral and written communication skills

Posting Date : 06/19/2017

Location : US-NY-New York

Travel : Yes, 5% of the time

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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