Linear Rates Quant

Job Description:

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.

Being a Great Place to Work is core to how we drive Responsible Growth. This includes our commitment to being an inclusive workplace, attracting and developing exceptional talent, supporting our teammates’ physical, emotional, and financial wellness, recognizing and rewarding performance, and how we make an impact in the communities we serve.

Bank of America is committed to an in-office culture with specific requirements for office-based attendance and which allows for an appropriate level of flexibility for our teammates and businesses based on role-specific considerations.

At Bank of America, you can build a successful career with opportunities to learn, grow, and make an impact. Join us!

Job Description:

The EMEA Rates Quant Group (QSDG) in London is looking for a quantitative developer to join a group of ‘strats’ and partner with the linear rates trading desks. The successful candidate is expected to contribute to new functionality, and enhancements to existing functionality, as required, to respond to a dynamic book of business requirements.

This is an on-desk ‘strat’ role, part of a small team, closely aligned to the linear rates derivatives and bonds trading and e-trading desks. The candidate should be a resourceful programmer with interest and experience in one or more of C++, Java, and Python. These programming skills, combined with strong analytical and numerical ability, will be used in solving mathematical and workflow problems with clarity and elegance. The candidate must also demonstrate an understanding of all forms of software and model testing in delivering quality solutions. Experience in rates cash and derivative products, pricing, and risk along with some experience in time series data statistical techniques and modelling is required.

This role is in a dynamic front office environment, combining daily challenges with longer term projects, collaborating with model risk management, sales, trading, finance, and technology. The ability to work well as part of a team is essential.

The Team

• Join a small team of five with extensive experience in the quantitative and commercial aspect of the linear rates business.

• Collaborate with traders covering EUR and GBP interest rate swaps, EGBs, SSAs, and cross-currency products to enhance existing, and deliver new, solutions for pricing, risk, and analytics relevant to the desks.

• Interact and cooperate with colleagues across Model Risk Management, Trading, Technology, Finance, Risk, and Sales.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers

• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization

• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes

• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

Skills:

• Must have recent and relevant experience working in a financial institution (e.g. large investment bank, financial consulting or buy-side institution).

• A postgraduate qualification in quantitative analysis is strong preferred. A Bachelor degree in Statistics, Engineering, Computer Science, Mathematics, Physics, Quantitative Finance, or Econometrics is required.

• Must be able to design, test and implement software solutions.

• Must be proficient with programming languages such as C++, Java, and/or Python.

• Must have knowledge of writing scripting language and/or software.

• Must be able to work with a range of relevant IT applications and systems effectively.

• Must have knowledge of fixed income pricing (cash bonds, vanilla derivatives), and yield curve fitting techniques.