Overview (Bank of America overview, BA Continuum India overview, Business Overview):
Bank of America is one of the world's leading financial institutions, serving individual consumers, small and middle-market businesses, and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. We are committed to attracting and retaining top talent across the globe to ensure our continued success. Along with taking care of our customers, we want to be the best place for people to work and aim at creating a work environment where all employees have the opportunity to achieve their goals.
We are a part of the Global Business Services which delivers technology and operations capabilities to all Bank of America lines of business (LOB) and enterprise functions. Global Business Services also oversees the firm's technology resourcing vendors.
Our employees help our customers and clients at every stage of their financial lives, helping them connect to what matters most. This purpose defines and unites us. Every day, we are focused on delivering value, convenience, expertise and innovation for individuals, businesses and institutional investors we serve worldwide.
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Process Overview:
The team in India is an extension of Bank of America's Global Risk Organization. India team provides analytical and technological support to the Model Risk Management desk.
Job Description:
Bank is looking for a quantitative finance analyst in the Market Risk Model Risk Management team. It covers all aspects of model validation and model risk of market risk models developed by Global Risk Analytics for one or more asset classes. The team covers market risk models across asset classes of over-the-counter derivatives ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
Candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
Responsibilities:
• Validate bank's market risk models developed by Global Risk Analytics for one or more asset classes: IR (Interest Rates), FX (Foreign Exchange), Inflation, Equity, Commodity, Credit and Mortgage. The models covered by team includes Value at Risk, Risk Not in VaR, IRC/CRM, and CCAR models related to market risk models.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independently testing to identify/quantify model risk associated with the model being validated
• Prepare validation report and technical documents for the model being validated
• Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
• Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going