Job opening at BoA
Fudan Alumni Finance Chapter
Thx & Best,
Begin forwarded message:
From: Yi, Chuang
Sent: Wednesday, December 05, 2012 7:00 PM
To: Maroofi, Hamed; Keenan, Patrick; Dahlgren, Martin; Wotherspoon, Craig; Ling, Tao; Chang, Scott X; Wang, Chunbo; Purewal, Mike; Kosygin, Denis; Laich, Danielle; Sultania, Gaurav R; Sherwin, Hong; Peng, Charlie; Wang, Lijing
Subject: Recommendation of Good Candidates for CVA Quants Needed for CVA/CCR Model Validation
Friends,
We are in progress of hiring a couple of VP level CVA/CCR quants in CVA and CCR Model Validation team, see requirements attached below. Most likely both positions will be based in London, but it is also a possibility to have one position in NY.
I would appreciate if you know some good candidates that you would like to recommend.
Thanks, Chuang
Business Overview
Bank of America - Merrill Lynch is looking for a quantitative finance analyst in the GBAM Model Risk Management team. The group is a multi-national team within Enterprise Model Risk Management based in three locations worldwide. It covers all aspects of model validation and model risk (i.e. verifying derivatives pricing models, identifying the models’ key underlying assumptions) for FX, equity, commodities, credit derivatives, mortgage products, rates products and counterparty, assessing both market and credit risks. Candidate will work closely with model developers, various derivatives trading desks and risk management groups. Candidate will report to the Head of CVA and Counterparty Credit Model Validation.
Responsibilities
· Validate CVA models developed by Front Office Quants and CCR models developed by Counterparty Credit Analytics Group. Coverage includes all asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity and Credit, as well as collateral exposure modelling.
· Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated.
· Identify and quantify model risk associated with the model being validated.
· Develop benchmark models in C++ for model review and model risk management purposes.
· Prepare validation report and technical documents for the model being validated.
- Assist market risk managers on trade approvals and finance on price verification methodologies.
· Help on maintaining model inventory and perform annual model review.
Requirements
· 3+ years of quantitative modelling experience in CVA or CCR (Counterparty Credit Risk) related area in a major trading or investment firm.
· Broad expertise in quantitative finance for cross-asset classes from IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity to Credit.
· A quantitative PhD from a top school along with a quantitative related thesis.
· In depth understanding of financial mathematics including stochastic differential equations, probability theory, interest rates and credit risk modelling.
· Strong coding ability in C++ and Python.
· Excellent communication skills (both written and verbal) and a real hands-on ability to analytics.
· Excellent presentation, negotiation and influencing skills.
· Extremely well organized and detail-oriented.
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