Bank Of America Corporation New York , NY 10007
The Counterparty Portfolio Management (CPM) business finance & controls team is part of the GBAM CFO organization. The CPM LOB manages XVA on Global Markets derivative portfolio, this consist of CVA (counterparty credit), DVA (own credit), FVA (funding), KVA (capital), and any other related future pricing components on the derivative portfolio. Further, the Global Asset recovery (GAR) portfolio is also part of CPM. CPM has a risk optimization desk and a loan portfolio too.
The Global Rates LOB has 10 Volcker desks that cover linear and non-linear products as well as Structured Notes and the SFT business
This role involves working closely with the head of CPM & Global Rates finance and the mgmt team in
implementation of new initiatives/projects
Review of risk measures in CPM and Rates to come up with metrics and processes that can be used as early warning signs
Improvements related to valuation/pricing of XVA components.
Position includes review of upcoming regulatory changes (UMR, FRTB, etc) market practice changes (migration to central clearing, etc) as they impact derivative valuation and revenue recognition.
Review revised or existing policies and work with BF&C teams to evaluate consistency of policy adherence and provide gap analysis to CPM & Rates management
Work to understand the impediments to achieve a consistent process and help in implementing solutions
The primary focus of our team is to
The teammate in this role will see firsthand how current and future market and regulatory changes impact derivative pricing and valuations. In addition, the individual will actively involved in discussions/process of XVA valuation changes in a dynamic environment as well as technology and process changes for both XVA and CFD.
The individual will be responsible for review of independent price testing routines, assisting in month-end close process, and assistance with implementation of new business initiatives. As part of the responsibilities of the role, the teammate will develop business partner relationships with trading desk and other support partners throughout the firm. Throughout the tenure of the role, the teammate should gain exposure and acumen in global markets area of the organization.
Master's Degree in Economics/Finance
Thorough understanding of the Global Markets business; understanding of derivative products and their respective risk measures and how they impact PL
10+ years financial industry experience
Advanced experience/skills with Excel and complex spreadsheets
Candidate must be able to work both independently and as team member; self starter
Strong communication and presentation skills
Strong problem solving and analytical abilities (Excel/Essbase)
Project management experience
MBA, CPA, CFA, or other advanced certification
Control focused, analytical, team oriented, comfortable with complex products
Experience in the counterparty credit risk arena (understanding of collateral / netting / exposures)
Strong financial analytics experience / Python coding / VBA code review experience would be a big plus
Posting Date: 09/21/2018
Location: New York, NY, 250 VESEY ST (NY3004), - United States
Travel: Yes, 5% of the time
Full / Part-time: Full time
Hours Per Week: 40
Shift: 1st shift