Senior Director Quantitative Finance Bank of America London

Job description
As Senior Quantitative Finance Analyst Your Main Responsibilities Will Involve
Each team member has a primary area of responsibility which can be an asset class, overall exposure calculations (aggregation/collateral modeling), back testing methodology, onboarding new trade types to the regression pricer framework etc.

The core analytics resides in C++ and is accessed via a Python layer which is where the majority of the development work takes place. Extensive Python experience is therefore expected from the successful candidate.
The overall deliverable for the team over the next couple of years is to improve the modeling sophistication to a level where the firm gains IMM approval from the US regulators.

Essential Skills
The successful candidate will most likely have PhD in maths/physics (or potentially a good MSc).
Strong Python (and ideally C++) coding, stochastic calculus.
Good knowledge of general arbitrage theory and detailed knowledge of at least one asset class (Rates, FX, Credit, Equity or Commodities).
Experience in a CVA quant team would be ideal as the overlap would be substantial but knowledge of FO pricing models would be desired either from a FO quant perspective or from a Model Validation perspective.

Enter your email address:

Refer This Job To Your Friends And Help Them To Find Jobs!