JOE Listings (Job Openings for Economists)

August 1, 2021 - January 31, 2022

Bank of America

This listing is inactive.
Global Risk
Model Risk Management
Sr. Quantitative Finance Analyst

JOE ID Number: 2021-02_111468099
Date Posted: 10/27/2021
Date Inactive: 01/31/2022
Position Title/Short Description
Title: Sr. Quantitative Finance Analyst
Section: Full-Time Nonacademic
Locations: Atlanta, Georgia, UNITED STATES
Charlotte, North Carolina, UNITED STATES
Jersey City, New Jersey, UNITED STATES
JEL Classification: C4 -- Econometric and Statistical Methods: Special Topics
Quantitative Finance
Model Validation
Full Text of JOE Listing:

Responsible for independently conducting quantitative analytics & complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities, may work with technology staff in design of any system to run models developed.

The Model Risk Management (MRM) Team provides oversight for model risk across Bank of America's model inventory. The MRM Team independently validates and challenges newly-developed and existing models; is responsible for model risk assessments, limits and monitoring; communicates issues identified through validations to relevant businesses and governance and control functions; and escalates model use breaches and remediation plans to relevant governance committees.

Enterprise Model Risk Management seeks a senior quantitative finance analyst to conduct independent testing and review of complex consumer credit risk models with multiple uses, including CCAR credit loss forecasting, CECL allowance, and Basel regulatory capital. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.

The qualified candidate will be responsible for a broad range of model validation activities, including:
• Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation
• Development and implementation of effective testing plans and testing code to critically challenge models through empirical analyses and to verify model implementation
• Review and critical assessment of ongoing model monitoring activities
• Writing of technical reports for distribution and presentation to model developers, senior management, audit and banking regulators
• Coaching of junior staff members while leading validation projects

Required and desired skills/qualifications:

• PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics, Computer Science / Machine Learning, or related field
• Background and experience with complex, loan-level PD/EAD/LGD models used for stress testing and other credit risk management purposes
• Experience with retail products including mortgages, credit card and auto loans
• Expertise in cross-sectional and time-series econometrics
• Deep understanding and knowledge of model performance measures
• Extensive programming experience using Python, R, SAS, SQL, MATLAB
• Expertise in analyzing and managing large datasets
• Strong knowledge of financial instruments and financial risk management principles
• Experience developing or validating models that rely on artificial intelligence and machine learning techniques
• Minimum of 7 years of experience in financial risk modeling or validation
• Familiarity with applicable regulatory guidance on model risk management, stress testing, and Basel requirements

Application Requirements:
  • External Application Link
Application deadline: 01/31/2022