Quantitative Middle Office Product Control Professional - Markets

Quantitative Middle Office Product Control Professional - Markets -

Job description

The Quantitative Middle Office Independent Amount (IA) team is responsible for assisting the Counterparty Portfolio Management team with the establishment of business processes and controls needed to ensure the firm’s IA calculations are accurate and consistent with Dodd-Frank’s Uncleared Margin Rules (UMR). The current opening is for an associate located in either New York or Chicago and will work in a team setting to ensure delivery on the following items by December 1, 2015:

• Assist with the testing and validation of IA results through each technology release
• Provide enhanced analysis and IA explains to front office and collateral operations teams when counterparty disputes arise on IA calculations
• Review and verify the model inputs feeding the IA calculations
• Asses production IA results for errors
• Identify and Establish control processes that will mitigate future IA calculation errors
• Work directly with the front office and technology teams on issues discovered through technology testing and model validation
• Provide assessment of counterparty computed IA numbers for reasonableness
• Conduct in-depth analysis of reasons for discrepancies in IA results between the firm and counterparty
• Validate and explain drivers of day over day changes in IA to CPM and Collateral operations teams
• Work with technology teams to guide IA calculator reporting and control requirements

**This position can be located in Chicago, IL or New York, NY**

Enterprise Description:

Responsible for balance sheet, general ledger and/or product controls specific to a defined area or defined process. Understands the market and the market drivers of the product they are supporting. Understands more complex structured transactions and the operational risks around the end to end product lifecycle. Implements improvements to the system infrastructure and control environment. Provides general team guidance on complex transactions. May provide input to recruiting and hiring and performance management processes. BA preferred or substantially equivalent experience. Typically 5-7 years of applicable experience. To be used for employees in Global Markets only.

Qualifications

Required:

• Masters degree or higher in Finance, Economics or Quantitative field
• Excellent communication skills 
• Strong technical skills including experience using Excel, VBA and SQL 
• Strong analytical skills 
• Understanding of Fixed Income and FX modeling 
• Experience working with OTC derivatives including futures, options, swaps, credit default swaps, forward rate agreements and swaptions 
• Knowledge of Financial Risk Management, Value at Risk (VaR) and Credit Risk Models 
• At least 3 years of experience working in a quantitative risk, middle office, or front office role

Desired:

• Understanding of the collateral management process at large bank
• Knowledge of CVA, FVA, regulatory capital requirements, and Independent Amount 
• Python programming experience

Posting Date: 04/08/2015

Location: US-IL-Chicago

Travel: No

Full / Part-time: Fulltime

Hours Per Week: 40.00

Shift: 1st Shift

Weekly Schedule: M-F

- See more at: http://careers.bankofamerica.com/job-detail/1500014103/global/us/quantitative-middle-office-product-control-professional-markets#sthash.ZiDiTLXE.dpuf
 See more at: http://careers.bankofamerica.com/job-detail/1500014103/global/us/quantitative-middle-office-product-control-professional-markets#sthash.ZiDiTLXE.dpuf