Assistant Vice President, Senior Finance Analyst, Valuations
Bank of America
Hong Kong, Hong Kong

Job Description :

About Bank of America :

Our purpose as a firm is to make financial lives better, through the power of every connection. Across the world, we partner with leading corporate and institutional investors through our offices in more than 35 countries.

In the U.S. alone, we serve almost all of the Fortune 500 companies and approximately 67 million consumer and small-business clients.

We provide a full suite of financial products and services, from banking and investments to asset and risk management. We cover a broad range of asset classes, making us a global leader in corporate and investment banking, sales and trading.

Connecting Asia Pacific to the World

Our Asia Pacific team is spread across 19 cities in 12 markets. We are focused on connecting Asia to the world and the world to Asia, using our global expertise to ensure success is shared between us, our clients and our communities.

Our regional footprint covers 12 currencies, more than a dozen languages and five time zones, placing us firmly among the region’s leading financial services companies.

Position Description

The APAC Global Valuation Group (GVG) team at Bank of America provides valuation and independent price verification (IPV) support to the APAC Global Markets Businesses.

We are a cross asset class group however are looking for someone specifically with in-depth knowledge of interest rate and FX derivatives pricing models and their relative characteristics, and their application to both vanilla and complex derivatives including Bonds, Vanilla IRS, Swaptions, CMS Spread Option, Bermudan Swaptions, Quanto Derivatives, etc

Key Responsibilities

  • Define the methodology for IPV and associated Liquidity / Model / Deal Specific Valuation Adjustments (VA)
  • Create IPV implementation tool to execute the methodology in line with compliance requirements
  • Review and Challenge the existing IPV processes conducted by Business Finance and Control (BFC)
  • Review of material new deals and changes to models and market data configurations
  • Assist with implementation of strategic projects, such as key risk management and system enhancements and redesigns
  • Work closely with Traders, Market Risk Management, Model Risk Management, FO Quants, BFC, senior managers on new product, model development, model sign-off etc.
  • Define Liquidity (covered / non-covered) and create the framework of a given product, risk, or portfolio as appropriate
  • Primarily focus on development and enhancement of independent price testing tools and procedures for securities and derivatives that are fair valued by the front office.
  • Secondary responsibilities may include calculation of liquidity, model and other valuation adjustments as specified in the valuation control procedures.
  • Involve in new model and product approval discussion with Risk and Front Office.

  • Able to articulate complex modeling and valuation issue to team members and management.
  • Product Valuation Analysts possess broad knowledge of financial markets and products with a quantitative background, and be responsible for executing valuation control processes utilizing existing procedures, tools and policies as appropriate
  • Key Requirements

  • 5 years of Financial Modeling experience or equivalent
  • 3 years of derivatives valuation and independent price verification experience
  • Working knowledge of MS Office applications including VBA, MarkIT, Reuters, Bloomberg.
  • Demonstrate ability to interact with personnel at all levels of a Top tier Financial Organization
  • Desired University degree in Quantitative Finance, Engineering, Mathematics or related technical field. Post-graduate university degree (MFE or PhD preferred)
  • Computer Programming Skills Python or other scripting language
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