Vice President; Sr Quant Inv Analyst

DUTIES: Create, enhance, implement, and maintain quantitative models for a broad range of investment analytics which include, but are not limited to, goals-based investment and wealth management, quantitative asset allocation, portfolio construction and analytics, product modeling, quantitative investment strategy development and implementation, risk and return forecasting, performance attribution, and other wealth management analytics. Design and deliver robust and innovative quantitative investment strategies, rules-based model portfolios, and validated analytical models at scale to help our clients achieve their financial goals across all GWIM channels (Merrill, Edge, Institutional, Private Bank, Retirement & Personal Wealth Services). Develop and manage stakeholder relationships across the Bank with a wide variety of partners. Focus on model building and refinement and/or portfolio construction. Demonstrate outstanding coding, debugging, and analytical skills. Communicate clearly in an audience-appropriate manner to influence via expertise to earn the trust of key stakeholders by translating complex quantitative concepts into common-sense terms and thinking. REQUIREMENTS: Master's degree or equivalent in Computer Science, Computer Information Systems, Management Information Systems, Engineering (any), or related: and 3 years of experience in the job offered or a related quantitative occupation. Must include 3 years of experience in each of the following: Developing non-Gaussian stochastic models specifically jump-diffusion processes, Lvy processes, and fractional Brownian including dynamics of wealth accumulation and consumption incorporating entropy-based measures; Developing dynamic Bayesian inference techniques including Markov Chain Monte Carlo methods for state-space models; Using tools and libraries in Python, R and MATLAB for Bayesian inferences, alpha factor research, and convex and non-convex portfolio optimization; Solving large-scale, non-convex optimization problems including Interior-Point Methods, Trust-Region Methods, Quadratic Programming, and Mixed-Integer Programming involving discrete variables and use of Gurobi; Employing spectral decomposition specifically Diffusion Maps, Kernel Principal Component Analysis, and Non-Negative Matrix Factorization to financial data; and, Optimizing utility functions (constant relative risk aversion, S-curve/kinked utility as well as econometric modelling) including Generalized Method of Moments, Kalman filters, dynamic Bayesian methods, and Vector Auto-Regression. Requisition 26016830. If interested apply online at or email your resume to [email protected] and reference the job title of the role and requisition number. No phone calls. EOE.