Quantitative Finance Analyst/C++ Developer

Bank Of America Corporation Atlanta , GA 30301

Posted 2 weeks ago

Job Description:

Bank of America is looking for a highly skilled C++ developer to join the Consumer Retail Analytics team in the Global Risk Analytics organization. The team produces, supports and runs econometric models for mortgages, credit cards, vehicle loans and deposit overdrafts. These models are used for stress testing, valuation, risk management, capital and liquidity planning, underwriting and other strategic or day-to-day decision-making purposes.

The work is fast-paced and intellectually challenging, and the team has frequent interactions with senior bank management and regulatory agencies to continuously improve our models and adapt to changing market and regulatory needs.

Candidates need not have previous finance experience but will be expected to quickly develop acumen and intuition for financial risk models. Candidates will build their advanced programming skills and work with staff in Corporate Investments, Balance Sheet Management, Model Risk Management and internal/external audit.

Responsibilities include:

  • Designing and implementing flexible, maintainable, correct and efficient C++ code

  • Studying and understanding technical model documents from team of statisticians

  • Updating C++ and configuration files to match new/updated credit/prepayment/cash flow models

  • Testing and debugging code to ensure correctness over wide range of inputs

  • Reviewing, refactoring and optimizing existing code

  • Participating in peer code reviews and collaborative development with other developers and quantitative finance analysts

  • Supporting model users and assisting in development of production processes

Required Skills:

  • Degree in a technical field (Finance, Math, Engineering, Physics, Computer Science)

  • 3 years professional experience writing maintainable and efficient C++

  • Strong mathematical skills, including statistics, calculus and linear algebra

  • Strong mathematical/quantitative skills, including statistics, calculus and linear algebra

  • Extensive experience with object oriented design, STL and templates

  • Strong attention to detail

  • Unit/regression testing

  • Ability to visualize and manipulate data using Excel

  • Good verbal/written communication skills

  • Willingness to learn and share knowledge

  • Comfort in working in a team environment

  • Basic scripting skills (Python/Perl/Lua/Bash etc)

Desired Skills:

  • Postgraduate degree in a technical field

  • Modern C++ (C++11, Boost) experience

  • Experience with statistical software (SAS, R, etc)

  • Source control experience (SVN/Perforce/Git preferred)

  • Experience in competing risk models, financial theory, economics, derivatives pricing, stochastic calculus or machine learning.

  • Experience of Monte Carlo Simulation

  • Experience with parallel/cluster computing (using Spark, Hadoop, MapReduce, SLURM, Hive etc)

  • Experience working with very large data sets

  • Experience with performance optimization and profilers (gprof, VTune etc)

  • Ability to multitask and properly prioritize multiple projects

  • Comfort working in the Linux/Unix command line

  • Working knowledge of database software and reporting tools, such as SQL, Tableau, Hive etc

Shift:

1st shift (United States of America)

Hours Per Week:

40


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Quantitative Finance Analyst/C++ Developer

Bank Of America Corporation