GMRA Analyst

Overview

Support the future-state build of the SRPnL platform and VaR engine while contributing to the production and enhancement of the firm's RNiV framework within Bank of America's Market Risk organization.

What you'll do

• Support development and testing of the future-state SRPnL platform and VaR calculation framework.
• Perform lower-lane testing and validation of full revaluation methodologies under benchmarking scenarios.
• Analyze and investigate differences between Grid PnL and SFRC PnL outputs, and determine whether they arise from valuation methodologies, model design, market data, or instrument-specific characteristics.
• Support optimization and stabilization of production batch processes and risk calculation workflows.
• Partner with stakeholders across Risk, Quantitative Analytics, and Technology teams to validate findings and implement improvements.
• Execute monthly and quarterly RNiV calculations across legal entities from data sourcing through result sign-off.
• Perform input quality controls and validation checks across risk factor and valuation datasets.
• Analyze risk-factor drivers and explain changes in RNiV and VaR results.
• Partner with Risk Managers to prepare change commentary and support market risk management activities.
• Conduct ad-hoc quantitative analysis to support management, regulatory, and business requests.
• Identify opportunities to improve methodologies, controls, automation, and analytical processes.
• Develop, enhance, debug, and maintain Python-based solutions supporting model execution and production processes.
• Create and maintain process documentation, testing evidence, methodology documentation, and operational procedures.
• Contribute to the broader enhancement of market risk analytics, infrastructure, and automation capabilities.

What you'll need

• Bachelor's or Master's degree in Finance, Mathematics, Economics, Statistics, Physics, Engineering, or a related quantitative discipline.
• 5-8 years of experience in Market Risk, Quantitative Analytics, Model Development, Valuation, Risk Technology, or related quantitative finance functions.
• Strong understanding of derivatives pricing, valuation methodologies, and risk analytics.
• Experience with VaR, RNiV, Market Risk Capital models, or related risk measurement frameworks.
• Strong analytical and quantitative problem-solving capabilities.
• Proficiency in Python for data analysis, automation, and quantitative investigations.
• Experience working with large datasets and performing complex data analysis.
• Working knowledge of Quartz Market Risk Suite (MRS), Zinc, Tableau, and SQL.
• Ability to investigate valuation and PnL differences across systems and methodologies.

Nice to have

• Familiarity with full revaluation methodologies and VaR benchmarking frameworks.
• Understanding of market risk regulatory capital requirements and risk governance frameworks.
• Broad knowledge of financial products including rates, FX, credit, equity, and derivatives products.
• Experience working with cross-functional teams across Risk, Quantitative Analytics, and Technology.
• Strong written and verbal communication skills with ability to communicate complex analytical findings effectively.
• Experience identifying and implementing process automation and efficiency improvements.

Details

• Location: Mumbai.