Quantitative Services Senior Professional
Jersey City, New Jersey;Chicago, Illinois
**Job Description:**
Quantitative Services (QS) team is involved in UMR initiative and is the business owner for several key processes like IBOR transition, UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing IM impacted on regulatory IM calculation when USD base curve switch to SOFR across all LOBs. Assisting CPM desk and other FO teams on CCP compensation fees and risk allocation through CCP bulk transition.
Responsibilities:
+ Knowledge of yield curve construction and Rates derivative valuation.
+ Assist FO desk on USD LIBOR to SOFR transition with different indexing curves by assess PV and risk impact for bi-lateral contract adjustment and CCP driven bulk transition.
+ Run no harm testing and impact analysis on SIMM model annual back testing and implementation.
+ Apply mathematical or statistical techniques to address practical issues in UMR program, such as SIMM IM calculation and monitoring, risk management, CSA transition and other regulatory requirements.
+ Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools off spreadsheet;
+ Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and the calculations. Ensure the firms IM calculations are accurate after switching to risk free yield curves. Identify and establish control processes that will mitigate future IA calculation errors.
+ Work directly with front office, business support and technology teams to enhance risk optimization approach. Provide analysis to various stakeholders.
Required Skills: (Must have these skills to be minimally qualified)
+ 2+ years of experience working in a quantitative risk, middle office, or front office role
+ Python programming, SQL, VBA experience
+ Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
+ Ability to leverage strong quantitative and programming skills to build deep knowledge of the banks analytical libraries and infrastructure
+ Experience with handling large data set with the ability to transform information into concise presentations with sound business conclusions and recommendations
+ Strong analytical and problem solving skills with the ability to interpret large amounts of information and conceptualize the impact across operational processes
+ Excellent communication & analytical skills
+ Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field
Other Qualifications:
+ Strives to bring new thoughts and ideas to teams in order to drive innovation and unique solutions.
+ Excels in working among diverse viewpoints to determine the best path forward.
+ Experience in connecting with a diverse set of clients to understand future business needs is a continuous learner.
+ Commitment to challenging the status quo and promoting positive change.
+ Participate in and drive collaborative efforts to advance tools, technology, and ways of working to better serve an evolving client base.
+ Believes in value of diversity so we can reflect, connect and meet the diverse needs of our clients and employees around the world.
Enterprise Role Overview:
Leads multiple projects that are significant in scope and impact. Serve as a SME and use that expertise to influence the optimal design and delivery of projects. Expected to lead by influence and drive strategic adoption. Demonstrated progressive growth in skill and responsibilities in various roles. Has extensive professional and functional knowledge developed through financial industry experience. Key responsibilities include: Provide subject matter expertise in process design, tool development or methodology validation ; Design and roll out analytical and technical tools for validations of new models/methodology; Provides guidance and mentoring to junior analysts as needed; Be a solution provider who can leverage the knowledge and experience to deliver a high quality end product; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Posses advanced degree in physic, applied mathematics, statistics/probability or another heavy quantitative discipline.
**Job Band:**
H5
**Shift:**
1st shift (United States of America)
**Hours Per Week:**
40
**Weekly Schedule:**
**Referral Bonus Amount:**
0
**Job Description:**
Quantitative Services (QS) team is involved in UMR initiative and is the business owner for several key processes like IBOR transition, UMR and Risk Optimization. As part of this initiative QS will be responsible for providing no harm and impact test, assessing IM impacted on regulatory IM calculation when USD base curve switch to SOFR across all LOBs. Assisting CPM desk and other FO teams on CCP compensation fees and risk allocation through CCP bulk transition.
Responsibilities:
+ Knowledge of yield curve construction and Rates derivative valuation.
+ Assist FO desk on USD LIBOR to SOFR transition with different indexing curves by assess PV and risk impact for bi-lateral contract adjustment and CCP driven bulk transition.
+ Run no harm testing and impact analysis on SIMM model annual back testing and implementation.
+ Apply mathematical or statistical techniques to address practical issues in UMR program, such as SIMM IM calculation and monitoring, risk management, CSA transition and other regulatory requirements.
+ Understand quantitative libs and their usage to assist migration of existing FO/Risk pricing tools off spreadsheet;
+ Assess IM impact under Uncleared Margin Rules (UMR). Verify the model inputs (e.g. market data) and the calculations. Ensure the firms IM calculations are accurate after switching to risk free yield curves. Identify and establish control processes that will mitigate future IA calculation errors.
+ Work directly with front office, business support and technology teams to enhance risk optimization approach. Provide analysis to various stakeholders.
Required Skills: (Must have these skills to be minimally qualified)
+ 2+ years of experience working in a quantitative risk, middle office, or front office role
+ Python programming, SQL, VBA experience
+ Knowledge of broad range of OTC derivative, FIF, Repo and loan products, Credit Risk, VaR and XVA Models for FO or Risk valuation.
+ Ability to leverage strong quantitative and programming skills to build deep knowledge of the banks analytical libraries and infrastructure
+ Experience with handling large data set with the ability to transform information into concise presentations with sound business conclusions and recommendations
+ Strong analytical and problem solving skills with the ability to interpret large amounts of information and conceptualize the impact across operational processes
+ Excellent communication & analytical skills
+ Master degree or higher in Computer Science, Mathematics, Financial Engineering, Economics or related quantitative field
Other Qualifications:
+ Strives to bring new thoughts and ideas to teams in order to drive innovation and unique solutions.
+ Excels in working among diverse viewpoints to determine the best path forward.
+ Experience in connecting with a diverse set of clients to understand future business needs is a continuous learner.
+ Commitment to challenging the status quo and promoting positive change.
+ Participate in and drive collaborative efforts to advance tools, technology, and ways of working to better serve an evolving client base.
+ Believes in value of diversity so we can reflect, connect and meet the diverse needs of our clients and employees around the world.
Enterprise Role Overview:
Leads multiple projects that are significant in scope and impact. Serve as a SME and use that expertise to influence the optimal design and delivery of projects. Expected to lead by influence and drive strategic adoption. Demonstrated progressive growth in skill and responsibilities in various roles. Has extensive professional and functional knowledge developed through financial industry experience. Key responsibilities include: Provide subject matter expertise in process design, tool development or methodology validation ; Design and roll out analytical and technical tools for validations of new models/methodology; Provides guidance and mentoring to junior analysts as needed; Be a solution provider who can leverage the knowledge and experience to deliver a high quality end product; and Understands financial products across all asset classes and has extensive knowledge of technical implementations. Posses advanced degree in physic, applied mathematics, statistics/probability or another heavy quantitative discipline.
**Shift:**
1st shift (United States of America)
**Hours Per Week:**
40
Learn more about this role
Full time
JR-22069847
Band: H5
Manages People: No
Travel: Yes, 5% of the time
Manager:
Talent Acquisition Contact:
Viviana Renshaw
Referral Bonus:
0
Jersey City pay and benefits information
**Jersey City pay range:**
$95,000 - $133,200
annualized salary, offers to be determined based on experience, education and skill set.
**Discretionary incentive eligible**
This role is eligible to participate in the annual discretionary plan. Employees are eligible for an annual discretionary award based on their overall individual performance results and behaviors, the performance and contributions of their line of business and/or group; and the overall success of the Company.
**Benefits**
This role is currently benefits eligible . We provide industry-leading benefits, resources and support to our employees so they can make a genuine impact and contribute to the sustainable growth of our business and the communities we serve.
Bank of America and its affiliates consider for employment and hire qualified candidates without regard to race, religious creed, religion, color, sex, sexual orientation, genetic information, gender, gender identity, gender expression, age, national origin, ancestry, citizenship, protected veteran or disability status or any factor prohibited by law, and as such affirms in policy and practice to support and promote the concept of equal employment opportunity and affirmative action, in accordance with all applicable federal, state, provincial and municipal laws. The company also prohibits discrimination on other bases such as medical condition, marital status or any other factor that is irrelevant to the performance of our teammates.
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