Sr Quantitative Finance Analyst - San Francisco
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 excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
The responsibility of Global Risk Analytics – Capital (GRA–C) is to develop and optimize the Bank's Basel II/III regulatory capital and economic capital models. Additionally, economic capital provides a basis for Risk Adjusted Return on Capital (RAROC) which is used in pricing models, strategic planning, and portfolio management initiatives. Our objective is to ensure capital adequacy in relation to the Bank's risk profile by identifying and quantifying all sources of risk – credit, country, market, and operational. GRA–C oversees capital models and portfolio analysis for every line of business across each assigned risk category.
The Model Management team is responsible for managing the organization's inventory of capital models through the Bank's governance process and monitoring model performance. The team tests and monitors that the models comply with model risk related policies and procedures, and that the models provide sound inputs to capital measurement and allocation decisions. The team monitors model performance through back testing and other direct and indirect evaluations of model soundness. The team's responsibilities also include: managing regulatory, compliance and audit requests; regulatory exam preparation and management; operational project management; tracking team goals, metrics and reporting; managing the team's financial plan; staffing coordination; business continuity; and business partner communications.
Specific duties for this role include:
– Test and monitor model performance through back testing, benchmarking, sensitivity analyses, and other model diagnostics
– Produce ongoing monitoring reports for GRA–C models on a quarterly or semi–annual basis
– Test model documentation for adherence to internal and regulatory standards
– Provide feedback to developers through model reviews prior to independent validation
• Graduate degree in a quantitative / mathematical / computer science field
• 5 10 years experience leading technical or quantitative projects
• 5 10 years of financial services industry experience
• Excellent verbal and written communication
• Experience with relational databases and regression analysis
• Experience writing technical documentation
• Proficiency in R, MatLab, SAS, SQL, Python
• Strong attention to detail
• Able to organize and prioritize schedule appropriately to deliver results in a dynamic environment with a commitment to deadlines
• Experience in capital management
• Project management experience
• Knowledge of Basel capital rules
Bank of America will consider for employment qualified applicants with criminal histories consistent with San Francisco ordinance 17–14 and federal law applicable to Bank of America.