Risk Quant – Quantitative Strategies & Data Group en Bank of America

Risk Quant – Quantitative Strategies & Data Group

London, United Kingdom

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Job Description:

At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. We do this by driving Responsible Growth and delivering for our clients, teammates, communities and shareholders every day.

Being a Great Place to Work is core to how we drive Responsible Growth. This includes our commitment to being an inclusive workplace, attracting and developing exceptional talent, supporting our teammates’ physical, emotional, and financial wellness, recognizing and rewarding performance, and how we make an impact in the communities we serve.

Bank of America is committed to an in-office culture with specific requirements for office-based attendance and which allows for an appropriate level of flexibility for our teammates and businesses based on role-specific considerations.

At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us!

We are looking for a highly skilled and analytical Risk Quant to join the Quantitative Strategies & Data Group within Global Markets. The team develops Python-based solutions on the Bank’s strategic platform, Quartz, and provides independent review and challenge of risk and PnL calculations. The team works across all asset classes (Rates / Commodity / Credit / FX / Equity) and collaborates with Quant, Risk and Front Office Technology teams to deliver strategic and regulatory programmes, including FRTB IMA, VaR, Strategic Risk and PnL, etc.. The role offers strong exposure to market risk methodologies, regulatory requirements and data testing frameworks.

Responsibilities:

• Design, develop, implement, and maintain market models (e.g. VaR) to ensure accurate measurement of risk exposures across trading books, in line with regulatory and internal governance requirements

• Support the implementation of risk data testing frameworks to assess the appropriateness, completeness and reasonableness of risk scenarios, VaR, expected shortfall and stress test calculations. This includes testing scenario design, implementation, results consolidation, and analyses of calculations to understand key drivers

• Investigate and categorise data anomalies and inconsistencies in risk outputs

• Produce clear and structured risk validation reports, highlighting key findings, model code changes required and other recommendations for data quality improvement

• Partner with Quant developers, Risk and Tech teams to ensure that the solutions are aligned with regulatory expectations and internal governance standards

Required Qualifications and Skills:

• Masters/PhD level in Finance, Economics or a quantitative subject (Mathematics, Statistics, Physics, Engineering, Computer Science or other analytical background)

• Proficient in Python, SQL, C++ and other

• Understanding of: VaR (full revaluation vs grid-based methodologies), stressed VaR and Expected Shortfall, PnL Explain (HPL / RTPL), and Regulatory capital requirements including FRTB IMA.

• Experience working in a Quant, Risk or Risk Tech team on regulatory programs (e.g. FRTB SA or IMA)

• Knowledge of derivative products and valuation concepts, and experience working across various asset classes (Rates / Commodity / Credit / FX / Equity)

• Excellent analytical and problem-solving skills

• Strong communication skills, with the ability to articulate complex quantitative concepts clearly

• We welcome applications from junior candidates with at least 2 years of financial markets experience, as well as from more experienced professionals

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, 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.

View your "Know your Rights (https://www.eeoc.gov/sites/default/files/2023-06/22-088_EEOC_KnowYourRights6.12.pdf) " poster.

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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.

Bank of America is committed to an in-office culture with specific requirements for office-based attendance and which allows for an appropriate level of flexibility for our teammates and businesses based on role-specific considerations. Should you be offered a role with Bank of America, your hiring manager will provide you with information on the in-office expectations associated with your role. These expectations are subject to change at any time and at the sole discretion of the Company. To the extent you have a disability or sincerely held religious belief for which you believe you need a reasonable accommodation from this requirement, you must seek an accommodation through the Bank’s required accommodation request process before your first day of work.

This communication provides information about certain Bank of America benefits. Receipt of this document does not automatically entitle you to benefits offered by Bank of America. Every effort has been made to ensure the accuracy of this communication. However, if there are discrepancies between this communication and the official plan documents, the plan documents will always govern. Bank of America retains the discretion to interpret the terms or language used in any of its communications according to the provisions contained in the plan documents. Bank of America also reserves the right to amend or terminate any benefit plan in its sole discretion at any time for any reason.