Market Risk Model Performance Analyst

Bank Of America Corporation Chicago , IL 60602

Posted 5 months ago

Job Description:

Bank of America - Merrill Lynch has an opportunity for a Risk Analysis Specialist within our Global Risk Analytics (GRA) function. The GRA team provides quantitative capabilities supporting global risk management and capital management and develops a consistent set of risk and capital models and analytical tools that drive the company's technology infrastructure.

This role sits within the Global Markets GRA Model Performance team. This team is responsible for monitoring and assessing the performance of all risk models used across Global Markets supporting risk management in understanding the drivers behind material risk metric movement and the impact of model limitations, and working with the model development team to enhance and improve model accuracy and the overall performance of the analytics platform.

Based in New York, your primary focus will be on the Market Risk VaR models, but you will have the opportunity to gain experience across all areas covered including CounterParty Credit Risk, Prime Brokerage, UMR-SIMM and IRC/CRM. This is an excellent opportunity to work in a fast growing, international team.

As a Risk Analysis Specialist your main responsibilities will involve:

  • Performing in-depth analysis on the bank's risk model results using various quantitative tools such as back-testing, bench marking, sensitivity analysis

  • Quantifying the impact of model limitations both in terms of firm level capital and name level exposure

  • From this analysis, pulling together the overall holistic picture of model performance along with clear conclusions on overall accuracy and remediation areas as required

  • Identifying common themes across global markets along with improvement initiatives

  • Communicating the results of this analysis to all model stakeholders including risk management, model development, model risk, senior management and our regulators

  • Supporting model development in confirming remediation of model issues prior to their being taken live

  • Driving incremental improvement to our model performance assessment tool set across all business areas

Required Skills & Experience

  • Experience in data analysis, with excellent research and analytical skills

  • Broad financial product knowledge

  • Proven programming skills (Python, C++, SQL, or equivalent object-oriented programming)

  • Pro-active behavior with capacity to seize initiative

  • Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions

  • Ability to multitask with excellent time management skills

  • Sense of focus and rigor in the completion of deliverables

  • Previous work experience in a related field within Risk, Technology or the Middle Office is a big plus.

Posting Date: 04/26/2019

Location: Chicago, IL, 135 S LA SALLE ST (IL4135), New York, NY, 50 Rockefeller Plaza (NY1050), - United States

Travel: No

Full / Part-time: Full time

Hours Per Week: 40

Shift: 1st shift

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