Overview Bank of America Merrill Lynch provides comprehensive market, industry, product and advisory expertise to more than 140,000 businesses around the globe. With unrivalled insight and access delivered by dedicated relationship teams, we connect clients with the right opportunities in more than 150 countries throughout Europe, the Middle East and Africa, Asia Pacific and the Americas.
Bank of America Merrill Lynch’s Europe, Middle East and Africa (EMEA) footprint comprises of 32 cities across 23 countries on three continents. The company is a long-established participant in the European markets, with a presence since 1922. Currently over 14,000 associates are based in EMEA.
Globally, Bank of America Merrill Lynch serves clients and customers in more than 150 countries and has relationships with 99 percent of the U.S. Fortune 500, nearly 96 percent of the Fortune Global 500 and 33 percent of the FTSE 100.
Today, the company offers an integrated and comprehensive set of products and services across all businesses, serving the needs of individual, corporate, institutional and government clients, by combining the best of local knowledge and international expertise. Bank of America Merrill Lynch has a strategic and measured approach to its international development and is strengthening its business and infrastructure to create sustainable, long-term growth.
Bank of America Merrill Lynch offers a number of outstanding career opportunities designed to attract and retain all skill levels – a chance for both personal and professional development as well as a salary and benefit package designed to reflect the individual’s contribution.
Job Description Credit Value Adjustment (CVA) refers to the negative impact on the valuation of trades with a counterparty to account for the credit risk arising from the underlying derivative trades outstanding with them.
The purpose of the CVA trading desk is to take over and manage that exposure from the Global Markets trading portfolios, effectively pooling the CVA of all counterparties into a single trading portfolio so that all others are unaffected by CVA, and so that it can be hedged most effectively.
Additionally, a subset of the CVA desk is involved in a Collateral Optimisation project, whose purpose is to reduce Global Markets’ derivative portfolio funding cost. This will be done by partnering with Operations to make better use of collateral posted in, and by correctly pricing new derivatives to reflect the cost of collateral based on the CSAs (i.e. legal agreements governing posting of collateral) in place with each counterparty.
CVA Data Manager (CDM) is a new application which allows the CVA desk to manage and feed input data into the multiple CVA calculation models. CDM ensures that the data is correct and that changes are known about and signed off in advance of PnL calculations that depend on them. Additionally, as part of the Collateral Optimisation initiative, CDM has been extended to provide a service that calculates the cost of funding for a given counterparty based on CSA data and securities lending rates, and provides Collateral Operations with tools to manage reuse of existing collateral inventory.
CDM is written in Java and runs on a UNIX (Linux) platform with a web user interface. Data is stored in a Microsoft SQL Server database. The data it serves may be accessed via the web UI, via an Excel add-in or via a Java API.
The application is developed by a team of 5 developers in London; this team is expected to grow to 8-10 by end 2011. CDM has been deployed to users located globally in Front Office (across CVA and Rates), Middle Office , Finance and Collateral Operations, and is integrated into downstream applications managed by multiple disparate teams.
The role is essentially a combination of user-facing support and business analysis, working closely within the development team to support and extend CDM. This varied and exciting role will provide the opportunity to gain significant detailed business knowledge of CVA and fixed income derivatives in general, and to improve technical skill level (VBA, SQL, Unix, scripts etc). Furthermore, the associate will become a valued member of a high-profile team performing in a critical business area – they will be expected to become a recognised SME of CDM.
Resolving questions and issues from existing users and downstream systems across locations and teams; these may be about functionality or may be technical in nature
Assisting user groups in retrieving data from CDM (e.g. by writing reports in spreadsheets using VBA and the CDM add-in)
Working with developers and project managers to support testing and UAT phases of integration projects (running reports and reconciliations, investigating and tracking issues, reporting on progress etc)
Working with developers to identify enhancement opportunities and define new functionality requests from business users
Performing deep-dive analysis of upstream data sources, e.g. assessing content of databases/feeds to identify data quality issues, validation etc
Onboarding users (including managing and continually improving the associated review processes)
Taking responsibility for incident and problem management process maturity
Excellent communication and team-working skills
Ability to work under pressure
Ability to organise self and others
Aptitude for technical troubleshooting and programming
Core financial markets experience, especially in derivatives
Relational database and SQL knowledge
Ability to write VBA programs in Excel
Derivatives knowledge (pricing and risk management), especially around Fixed Income or Credit Derivatives Experience of collateral management concepts and processes, including CSAs
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