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Sr Quantitative Fin Analyst - Model Validator

Bank of America | Atlanta GA 30308 USA | Full Time | Posted: 11/15/2019

Job Descriptiontop

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.

The team is seeking a subject matter expert in commercial credit risk modeling space who will be responsible for validating stress testing, allowance, and capital models. The candidate must have a strong background in commercial credit risk assessment with 5+ years of experience in either developing or validating models used for credit ratings, commercial loss forecasting or capital calculations. This position is for a senior validator who will be expected to independently conduct validations involving evaluation of underlying assumptions, choice of risk drivers, statistical and mathematical methods, empirical evidence, data quality, and software implementation. The validator is expected to write independent code to conduct validation testing including development of independent benchmarking and alternative assumption analysis. This is a high visibility position and the senior validator will interact with model developers, model users, and model owners routinely. She/he must have strong technical skills including programming, strong verbal and written communication skills, and a demonstrated ability in technical writing. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.

The ideal candidate will have several years of experience working as a quant at either a large financial institution or major rating agency. In addition, it is desirable for her/him to have strong academic qualifications with publications in respected journals.

Required skills:

•PhD in finance, economics, mathematics, or statistics (or other related quantitative discipline)
•5+ years of relevant work experience.
•Expertise in developing or validating commercial credit risk models at large financial institutions.
•In-depth understanding of statistical inference and related techniques.
•Deep knowledge in a statistical or analytical modeling language such as SAS, Matlab or R.
•Experience working with large and complex data sets using Excel or SQL.
•Strong written and verbal communication skills.
•Deep understanding and knowledge of model performance measures.

Desired skills:

•Commercial Credit Risk loss forecasting or Capital calculations
•Ability to work independently
•Extensive knowledge of banking regulations on credit risk, model risk and credit risk modeling methodologies.
•Strong academic qualifications with publications in respected journals.

Shift:

1st shift (United States of America)

Hours Per Week:

40

Job Detailstop

Location Atlanta, GA, 30308, United States
Categories Banking/Investment

Location Maptop

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Job Code 19053989
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