Quantitative Finance Manager
Jersey City, New Jersey
Job Description:
Global Markets and Financial Risk Management (GMFR) department provides independent risk oversight of the Firm’s trading activities. The Counterparty Credit Risk Portfolio Management (CCRPM) team within this organization is responsible for managing counterparty concentration risk, stress testing of traded and client cleared products in the Global Markets counterparty portfolio, pre-trade counterparty risk analysis, and CCAR Counterparty Default Loss estimation. The team supports all lines of business in the Global Markets division across all asset classes within FICC and Equities.
CCRPM is seeking a highly motivated individual to lead Enterprise Stress Testing activities for the team, including CCAR Counterparty Default Loss process and climate risk scenarios. The candidate in this role will have a wide range of responsibilities from ensuring that regulatory expectations are met in a controlled environment to managing Counterparty Default Loss selection process and documenting concentration risks in the portfolio. The role requires extensive engagement with Global Risk functions and other partners across the Firm. The successful candidate will need to have a mix of strong technical skills and the ability to effectively communicate with a wide audience both verbally and in writing.
Primary Responsibilities include:
• Analyze Counterparty Default Loss stress testing results, including calculation and review of stressed exposures and any necessary adjustments or overrides
• Explain portfolio drivers of the largest counterparty stressed exposures in the internal and FRB supervisory CCAR scenarios
• Construct presentations of top counterparty stressed exposures and conduct largest Counterparty Default Loss and climate risk selection meetings with the stakeholders
• Document stress testing activities which include updating annual CCAR documentation and quarterly point-of-weakness portfolio deep dives
• Review all relevant stress testing rules and regulations to ensure the program is in compliance
• Collaborate with the scenario production and technology teams to ensure full understanding of data issues and their impact on scenario results
• Liaise with Enterprise Stress Testing, Model Risk Management, Technology and other stakeholders to continuously review and enhance stress testing methodologies, technology platforms and tools used for the Enterprise Stress Testing activities
• Provide on-going support for strategic initiatives related to stress testing for both internal stakeholders and regulators
• Field extensive ad-hoc questions from regulators, Global Risk, front line units and audit partners
• Contribute to ad-hoc CCRPM team’s initiatives and to the positive work environment
Required skills:
• 4-6 years of experience in Market Risk or Counterparty Credit Risk including direct involvement with regulatory stress testing
• Highly motivated individual who fully understands the demands of a risk professional with the ability to work in a fast paced environment
• Excellent communication skills both written and verbal
• Strong knowledge of traded products, spanning derivatives (Rates, FX, Commodities, Equities, Credit) and securities financing (Repos, Securities Lending)
• Experience in preparing concise and effective presentations to explain complex analysis and technical items to non-technical audiences
• Intellectual curiosity and ability to investigate and develop root cause analysis for issues and propose corresponding process or technology changes
• Effective time management skills with the ability to manage multiple high priority deliverables simultaneously
• Experience with regulatory exams and audit
• Strong computer skills
Preferred Skills:
• Academic achievement in quantitative disciplines such as mathematics or statistics
• Knowledge of counterparty risk measurement techniques on derivatives and financing transactions
Job Band:
H4
Shift:
1st shift (United States of America)
Hours Per Week:
40
Weekly Schedule:
Referral Bonus Amount:
0
Job Description:
Global Markets and Financial Risk Management (GMFR) department provides independent risk oversight of the Firm’s trading activities. The Counterparty Credit Risk Portfolio Management (CCRPM) team within this organization is responsible for managing counterparty concentration risk, stress testing of traded and client cleared products in the Global Markets counterparty portfolio, pre-trade counterparty risk analysis, and CCAR Counterparty Default Loss estimation. The team supports all lines of business in the Global Markets division across all asset classes within FICC and Equities.
CCRPM is seeking a highly motivated individual to lead Enterprise Stress Testing activities for the team, including CCAR Counterparty Default Loss process and climate risk scenarios. The candidate in this role will have a wide range of responsibilities from ensuring that regulatory expectations are met in a controlled environment to managing Counterparty Default Loss selection process and documenting concentration risks in the portfolio. The role requires extensive engagement with Global Risk functions and other partners across the Firm. The successful candidate will need to have a mix of strong technical skills and the ability to effectively communicate with a wide audience both verbally and in writing.
Primary Responsibilities include:
• Analyze Counterparty Default Loss stress testing results, including calculation and review of stressed exposures and any necessary adjustments or overrides
• Explain portfolio drivers of the largest counterparty stressed exposures in the internal and FRB supervisory CCAR scenarios
• Construct presentations of top counterparty stressed exposures and conduct largest Counterparty Default Loss and climate risk selection meetings with the stakeholders
• Document stress testing activities which include updating annual CCAR documentation and quarterly point-of-weakness portfolio deep dives
• Review all relevant stress testing rules and regulations to ensure the program is in compliance
• Collaborate with the scenario production and technology teams to ensure full understanding of data issues and their impact on scenario results
• Liaise with Enterprise Stress Testing, Model Risk Management, Technology and other stakeholders to continuously review and enhance stress testing methodologies, technology platforms and tools used for the Enterprise Stress Testing activities
• Provide on-going support for strategic initiatives related to stress testing for both internal stakeholders and regulators
• Field extensive ad-hoc questions from regulators, Global Risk, front line units and audit partners
• Contribute to ad-hoc CCRPM team’s initiatives and to the positive work environment
Required skills:
• 4-6 years of experience in Market Risk or Counterparty Credit Risk including direct involvement with regulatory stress testing
• Highly motivated individual who fully understands the demands of a risk professional with the ability to work in a fast paced environment
• Excellent communication skills both written and verbal
• Strong knowledge of traded products, spanning derivatives (Rates, FX, Commodities, Equities, Credit) and securities financing (Repos, Securities Lending)
• Experience in preparing concise and effective presentations to explain complex analysis and technical items to non-technical audiences
• Intellectual curiosity and ability to investigate and develop root cause analysis for issues and propose corresponding process or technology changes
• Effective time management skills with the ability to manage multiple high priority deliverables simultaneously
• Experience with regulatory exams and audit
• Strong computer skills
Preferred Skills:
• Academic achievement in quantitative disciplines such as mathematics or statistics
• Knowledge of counterparty risk measurement techniques on derivatives and financing transactions
Shift:
1st shift (United States of America)
Hours Per Week:
40
Learn more about this role
Full time
JR-22047297
Band: H4
Manages People: No
Travel: No
Manager:
Talent Acquisition Contact:
Maida Salihovic
Referral Bonus:
0
Jersey City pay and benefits information
Jersey City pay range:
$100,000 – $160,000
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 (~~~) .
To view the “EEO is the Law” Supplement, CLICK HERE (~~~) .
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 America’s Drug-free workplace and alcohol policy, CLICK HERE .
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