About Us
At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. We do this by driving Responsible Growth and delivering for our clients, teammates, communities and shareholders every day.
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Bank of America is committed to an in-office culture that supports collaboration, engagement, and career development. Our approach includes clear in-office expectations, while providing an appropriate level of flexibility based on role-specific responsibilities and business needs.
At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us!
Global Business Services
Global Business Services delivers Technology and Operations capabilities to Lines of Business and Staff Support Functions of Bank of America through a centrally managed, globally integrated delivery model and globally resilient operations.
Global Business Services is recognized for flawless execution, sound risk management, operational resiliency, operational excellence and innovation.
In India, we are present in five locations and operate as BA Continuum India Private Limited (BACI), a non-banking subsidiary of Bank of America Corporation and the operating company for India operations of Global Business Services.
Process Overview*
The India team is an integral part of Bank of America’s Global Risk Organization, providing model validation, governance, and analytics support to strengthen the Model Risk Management framework and ensure effective oversight across the model lifecycle.
The bank is looking for a quantitative finance analyst in the Global Markets (GM) Model Risk Management team. GM Model risk management team provides independent oversight and validation of pricing models. This includes Credit/Funding Value Adjustment (XVA) models, counterparty credit risk (CCR) models including IMM models, pricing models, margin models, etc. The team covers OTC derivatives across asset classes ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage.
The team is responsible for assessing model conceptual soundness, regulatory compliance, implementation accuracy, and ongoing performance in line with the Bank's Model Risk Management framework and evolving regulatory expectations, including SR 11-7 and SR 26-2 principles.
The candidate will work specifically on validating Equity pricing models. The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.
Responsibilities:
- Independently validate pricing and risk models used for valuation, risk management, and regulatory capital calculations of Equity Derivatives products , including vanilla and exotic options, structured products, variance swaps, correlation products, and hybrid instruments.
- Review model assumptions, mathematical formulations, numerical methods, calibration frameworks, implementation, limitations, and appropriateness of use for pricing and risk management purposes.
- Assess theoretical soundness of pricing methodologies including stochastic volatility models, local volatility models, jump-diffusion models, and correlation frameworks.
- Perform independent quantitative testing, benchmarking, sensitivity analysis, stress testing, back-testing, and model performance reviews to identify and quantify model risks.
- Evaluate model calibration approaches, market data dependencies, and valuation adjustments associated with equity derivatives portfolios.
- Prepare comprehensive validation reports, technical documentation, and remediation recommendations in accordance with regulatory and internal model risk management standards.
- Work closely with Front Office, Quantitative Research, Market Risk, Model Development, Finance/PVG, and other control functions to communicate validation findings and establish appropriate compensating controls.
- Maintain ownership of a portfolio of pricing models, perform periodic model reviews, ongoing monitoring, required action item closure, and support regulatory examinations and internal audits.
Requirements:
- Education: Masters or Ph.D. degree in Mathematics, Financial Mathematics, Quantitative Finance, Computational Finance, Engineering Physics, Computer Science etc.
- Educational institutes: Top tier – IITs, NITs, IIMs etc.
- Certifications (preferred but not mandatory): FRM, CFA, CQF etc.
- Experience Range: 5 – 8 years of experience in Model Validation, Quantitative Analytics, Front Office Quantitative Research, Model Risk Management, or Pricing Analytics.
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- Mandatory skills:
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- Strong understanding of derivatives pricing theory, stochastic calculus, probability theory, numerical methods, and quantitative finance.
- Deep knowledge of equity markets and equity derivative products including:
- Equity Options
- Barrier Options
- Asian Options
- Autocallables
- Convertible Products
- Variance and Volatility Swaps
- Correlation Products
- Structured Equity Notes
- Understanding of market risk measures and sensitivities including Delta, Gamma, Vega, Theta, Rho, Cross-Gamma, and Correlation Risk.
- Experience with pricing methodologies such as:
- Black-Scholes
- Local Volatility Models
- Stochastic Volatility Models
- Monte Carlo Simulation
- Finite Difference Methods
- Tree-Based Models
- Familiarity with model calibration techniques and market data management.
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- Experience conducting independent model testing, benchmarking, sensitivity analysis, and model performance assessments.
- Strong understanding of model risk governance, SR 11-7/SR26-2 principles, regulatory expectations, and model lifecycle management.
- Ability to assess model limitations, implementation risks, valuation impacts, and control effectiveness.
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- Strong written and verbal communication skills.
- Ability to articulate complex quantitative concepts to both technical and non-technical stakeholders.
- Experience presenting validation conclusions and recommendations to senior management and governance committees.
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- Strong analytical and problem-solving skills.
- High attention to detail.
- Demonstrated ownership and accountability.
- Strong collaboration and stakeholder management capabilities.
- Continuous learning mindset and ability to work in a fast-paced environment.
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- Strong programming skills in Python; experience in C++ is a plus.
- Experience with quantitative libraries and analytics platforms.
- Knowledge of equity volatility modeling, correlation modeling, and structured equity products.
- Experience with regulatory model examinations and remediation programs.
- Experience with LaTeX and technical report writing.
- Strong presentation and communication skills in professional and governance settings.
Work Timings: 12 PM – 9 PM IST
Job Location: Mumbai Powai