Sr. Quantitative Finance Analyst - Mortgage/MBS/Securitized Products
Charlotte, North Carolina;Jersey City, New Jersey; Atlanta, Georgia; Chicago, Illinois
**Job Description:**
**At Bank of America, models are used for a broad range of activities, including but not limited to valuation, risk management, capital and liquidity planning, stress testing, underwriting and other strategic or day-to-day decision-making purposes. Bank of America recognizes the risk and uncertainty associated with the use of its models and the need to effectively manage this risk both at an individual level and in the aggregate. 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 valuation and risk models for mortgages, MBS and securitized products. 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
+ Performing model review activities including but not limited to independent model validation/challenge, annual model review, ongoing monitoring report review, required action item review, and peer review.
+ Conducting governance activities such as model identification, model approval and breach remediation reviews to manage model risk.
+ Communicating and working directly with relevant modeling teams and their corresponding Front Line Units; and if needed, communicating and interacting with the third line of defense (e.g. internal audit) as well as external regulators
+ Writing technical reports for distribution and presentation to model developers, senior management, audit and banking regulators
+ Acts as a senior leader and SME to help managements decision making and guide junior team members
**Key requirements:**
+ Strong and diversified quantitative skills, possess an advanced degree in Statistics
+ Advanced knowledge of statistical methods, techniques, formulas, and tests
+ Strong analytical & problem-solving skills
+ Working knowledge statistical modelling of financial data
+ Working knowledge of optimization techniques, regression techniques and Monte Carlo simulation
+ Ability to understand and communicate clearly and effectively at all levels
+ Ability to learn and adapt in an unexplored field, if necessary
+ Team player attitude
**Required Skills:**
+ Masters/Ph.D. in Economics, Computational Finance, Mathematics, Statistics, Physics or related degree.
+ At least 5 years experience in financial markets is required.
+ Proven experience with SAS, Matlab, R, Python and Latex.
+ Experience and knowledge in mortgage prepayment and default modeling, pricing and risk management of Mortgage backed security and other securitized products
+ Experience and knowledge in financial instrument valuation models.
+ Experience with times series and regression modeling.
+ Good knowledge of rate and credit modeling is preferred.
+ Familiar with SR11-07 and related requirements on model risk
+ Strong communication skills
**Job Band:**
H4
**Shift:**
1st shift (United States of America)
**Hours Per Week:**
40
**Weekly Schedule:**
**Referral Bonus Amount:**
0
**Job Description:**
**At Bank of America, models are used for a broad range of activities, including but not limited to valuation, risk management, capital and liquidity planning, stress testing, underwriting and other strategic or day-to-day decision-making purposes. Bank of America recognizes the risk and uncertainty associated with the use of its models and the need to effectively manage this risk both at an individual level and in the aggregate. 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 valuation and risk models for mortgages, MBS and securitized products. 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
+ Performing model review activities including but not limited to independent model validation/challenge, annual model review, ongoing monitoring report review, required action item review, and peer review.
+ Conducting governance activities such as model identification, model approval and breach remediation reviews to manage model risk.
+ Communicating and working directly with relevant modeling teams and their corresponding Front Line Units; and if needed, communicating and interacting with the third line of defense (e.g. internal audit) as well as external regulators
+ Writing technical reports for distribution and presentation to model developers, senior management, audit and banking regulators
+ Acts as a senior leader and SME to help managements decision making and guide junior team members
**Key requirements:**
+ Strong and diversified quantitative skills, possess an advanced degree in Statistics
+ Advanced knowledge of statistical methods, techniques, formulas, and tests
+ Strong analytical & problem-solving skills
+ Working knowledge statistical modelling of financial data
+ Working knowledge of optimization techniques, regression techniques and Monte Carlo simulation
+ Ability to understand and communicate clearly and effectively at all levels
+ Ability to learn and adapt in an unexplored field, if necessary
+ Team player attitude
**Required Skills:**
+ Masters/Ph.D. in Economics, Computational Finance, Mathematics, Statistics, Physics or related degree.
+ At least 5 years experience in financial markets is required.
+ Proven experience with SAS, Matlab, R, Python and Latex.
+ Experience and knowledge in mortgage prepayment and default modeling, pricing and risk management of Mortgage backed security and other securitized products
+ Experience and knowledge in financial instrument valuation models.
+ Experience with times series and regression modeling.
+ Good knowledge of rate and credit modeling is preferred.
+ Familiar with SR11-07 and related requirements on model risk
+ Strong communication skills
**Shift:**
1st shift (United States of America)
**Hours Per Week:**
40
Learn more about this role
Full time
JR-22064256
Band: H4
Manages People: No
Travel: Yes, 5% of the time
Manager:
Talent Acquisition Contact:
Taylor Pitre
Referral Bonus:
0
Jersey City pay and benefits information
**Jersey City pay range:**
$105,000 - $180,000
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.
To view the "EEO is the Law" poster, CLICK HERE (https://www.dol.gov/ofccp/regs/compliance/posters/pdf/eeopost.pdf) .
To view the "EEO is the Law" Supplement, CLICK HERE (https://www.dol.gov/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .
Bank of America aims to create a workplace free from the dangers and resulting consequences of illegal and illicit drug use and alcohol abuse. Our Drug-Free Workplace and Alcohol Policy (Policy) establishes requirements to prevent the presence or use of illegal or illicit drugs or unauthorized alcohol on Bank of America premises and to provide a safe work environment.
To view Bank of Americas Drug-free workplace and alcohol policy, CLICK HERE .
