Sr. Analyst

Overview

Independently validate pricing and risk models for Equity Derivatives within the Global Markets Model Risk Management team, as part of Bank of America's Global Risk Organization in India.

What you'll do

• 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.

What you'll need

• Masters or Ph.D. degree in Mathematics, Financial Mathematics, Quantitative Finance, Computational Finance, Engineering Physics, Computer Science etc., from a top tier institute such as IITs, NITs, or IIMs.
• 5 – 8 years of experience in Model Validation, Quantitative Analytics, Front Office Quantitative Research, Model Risk Management, or Pricing Analytics.
• 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, and 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, and Tree-Based Models.
• Familiarity with model calibration techniques and market data management.
• Experience conducting independent model testing, benchmarking, sensitivity analysis, and model performance assessments.
• Strong understanding of model risk governance, SR 11-7/SR 26-2 principles, regulatory expectations, and model lifecycle management.
• Ability to assess model limitations, implementation risks, valuation impacts, and control effectiveness.
• Strong written and verbal communication skills, with the ability to articulate complex quantitative concepts to technical and non-technical stakeholders.
• Experience presenting validation conclusions and recommendations to senior management and governance committees.
• 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.

Nice to have

• Certifications such as FRM, CFA, or CQF.
• 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.

Details

• Work timings: 12 PM – 9 PM IST.
• Job location: Mumbai Powai.
• Bank of America is committed to an in-office culture, with clear in-office expectations and an appropriate level of flexibility based on role-specific responsibilities and business needs.