Bank of America Quantitative Services Professional - Counterparty Portfolio Management Team in Seattle, Washington
Business Specific Description:
Quantitative Services Independent Amount (IA) team is responsible for assisting the Counterparty Portfolio Management team with the establishment of business processes and controls needed to ensure the firm's IA calculations are accurate and consistent with the Uncleared Margin Rules (UMR). The current opening is for an associate located in either Chicago or Seattle and will work in a team setting to ensure successful delivery of UMR deliverables.
Assist with the testing and validation of IA results through each technology release
Provide enhanced analysis and IA explains to front office and collateral operations teams when counterparty disputes arise on IA calculations
Review and verify the model inputs feeding the IA calculations
Assess production IA results for errors
Identify and Establish control processes that will mitigate future IA calculation errors
Work directly with the front office and technology teams on issues discovered through technology testing and model validation
Provide assessment of counterparty computed IA numbers for reasonableness
Conduct in-depth analysis of reasons for discrepancies in IA results between the firm and counterparty
Validate and explain drivers of day over day changes in IA to CPM and Collateral operations teams
Work with technology teams to guide IA calculator reporting and control requirements
Masters degree or higher in Finance, Economics or Quantitative field or equivalent work experience with derivatives and risk exposure and Bachelor's degree inFinance, Economics or Quantitative field
Excellent communication skills
Strong technical skills including experience using Excel, VBA and SQL
Strong analytical skills
Experience working with OTC derivatives
Experience pricing OTC derivative products including futures, options, swaps, credit default swaps, forward rate agreements and swaptions
Knowledge of Financial Risk Management, Credit Risk Models, Value at Risk (VaR).
Strong knowledge of market & credit risk
At least 3 years of experience working in a quantitative risk, middle office, or front office role
Understanding of the collateral management process at large bank
Knowledge of CVA, FVA, regulatory capital requirements, and Independent Amount
Python programming experience
Posting Date : 10/12/2018
Chicago, IL, 135 S LA SALLE ST (IL4135),
Seattle, WA, FIFTH AVENUE PLAZA, 800 5TH Ave,
- United States
Travel : Yes, 5% of the time
Full / Part-time : Full time
Hours Per Week : 40
Shift : 1st shift
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