Quantitative Finance Analyst - Model Validation - London, United Kingdom,

British Pound . GBP -

Job Description:
Corporate Title: Assistant Vice President
Location: London
Line of Business: Model Risk Management

Here in our London office we are looking for a Quantitative Finance Analyst to join our Model Risk team.

You will work on the validation, risk management and control of models used and developed by Rates, FX and Inflation model developers.

You will be responsible for the validation of the relevant models, and work closely with the front office model developers and other support partners, in particular market risk, GVG and middle office.

What will your main responsibilities involve?
  • Reviewing and testing models primarily used by the Global Rates and G10 line of business. This includes interest rate, FX and inflation models for both vanilla and exotic products.
  • Identify and assess the appropriateness of the models' key underlying assumptions and limitations. Review the underlying model theory, derivation and implementation.
  • Independent re-implementation of front office models for benchmarking and validation.
  • Documentation of validation activities.
  • Model risk management of existing models in terms of on-going monitoring, stress testing and annual model reviews
  • Liaising with front office model developers and other control functions to ensure proper governance of the model inventory.

What skills and qualifications will you ideally possess?
  • PhD or Master (or equivalent) in Computational Finance, Mathematics, Statistics, Physics or related degree
  • Proven finance or risk background with excellent quantitative skills and expert knowledge of stochastic calculus.
  • Excellent communication skills (written and verbal) and interpersonal skills.
  • Well organized and detail-oriented.
  • Experience of developing and testing models in either C++ or Python

About Bank of America Merrill Lynch
Bank of America is one of the world's leading financial institutions, serving individual consumers, small- and middle-market businesses, large corporations and governments with a full range of financial and risk management products and services. Bank of America Merrill Lynch is the marketing name for the global banking and markets businesses.
The company has had a presence in EMEA since 1922. With offices in 23 countries on three continents, it offers an integrated and comprehensive set of products and services across Global Corporate and Investment Banking, Global Markets and Consumer Card, serving the needs of individual, corporate, institutional and government clients, combining the best of local knowledge and global expertise. Developing solutions for social and environmental challenges is at the core of Bank of America Merrill Lynch's responsibility platform. In more than 90 countries around the world, we partner with employees, clients and stakeholders to help make financial lives better.

Apply
If you're interested in this opportunity please send your details to us by applying online.
Good conduct and sound judgment is crucial to our long term success. It's important that all employees in the organisation understand the expected standards of conduct and how we manage conduct risk. Individual accountability and an ownership mindset are the cornerstones of our Code of Conduct and are at the heart of managing risk well.
We are an equal opportunities employer, and ensure that no applicant is subject to less favourable treatment on the grounds of gender, gender identity, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, socio-economic background, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.
As part of our standard hiring process to manage risk, please note background screening checks will be conducted on all hires before commencing employment.