Manager, Quantitative Analysis - Model Risk Office

At Capital One data is at the center of everything we do. As a startup, we disrupted the credit card industry by individually personalizing every credit card offer using statistical modeling and the relational database, cutting edge technology in 1988! Fast-forward a few years, and this little innovation and our passion for data has skyrocketed us to a Fortune 200 company and a leader in the world of data-driven decision-making.

As a Quantitative Analyst at Capital One, you’ll be part of a team that’s leading the next wave of disruption at a whole new scale, using the latest in cloud computing and machine learning technologies and operating across billions of customer records to unlock the big opportunities that help everyday people save money, time and agony in their financial lives.

Capital One is selectively recruiting for a Manager for a Model Validation team. The individual would report to the Model Risk Office and work closely with the business groups. This individual, along with their peers, would be responsible for ensuring the accuracy and robustness of the firm’s market risk models. Clients of the group include senior management, business leads, internal audit, and the regulators.

This position is responsible for validating models, specifically those used for derivative pricing and risk management, including derivative valuation, market risk, and counter party risk models. Strong communication skills are essential to effectively engage with a diverse group of stakeholders, irrespective of their technical background.

Responsibilities :

• Remain on the leading edge of analytical technology with a passion for the newest and most innovative tools

• Develop model approaches to assess model design and advance future capabilities

• Understand relevant business processes and portfolios associated with model use

• Understand technical issues in econometric, statistical, and machine learning modeling and apply these skills toward developing models and assessing model risks and opportunities

• Communicate technical subject matter clearly and concisely to individuals from various backgrounds both verbally and through written communication; prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management

• Maintain the efficiency and accuracy of our models through continuous improvement and application of best practices

• Develop and maintain high quality and transparent documentation

• Leverage the latest open source technologies and tools to identify areas of opportunity in our existing framework

E
xpertise in quantitative analysis is central to our success in all markets. Our modelers thrive in a culture of mutual respect, excellence and innovation.

Successful candidates will possess:

• Demonstrated track-record in modeling and experience utilizing model estimation tools such as Python or R

• Ability to clearly communicate modeling results to management, model risk office, regulator and other modelers

• Drive to continuously improve all aspects of their work in a collaborative fashion

• Experience in machine learning

• Strong communication skills with the ability to quickly understand existing models and new requirements/business needs

• Experience working with Agile development methodologies

• Strong grasp of econometric theory and methodologies

• Desire to remain on the leading edge of analytical technology with a passion for the newest and most innovative tools

• Experience working with CCAR regulatory requirements

• Experience with derivative modeling

Basic Qualifications:

• Currently has, or is in the process of obtaining one of the following with an expectation that the required degree will be obtained on or before the scheduled start date:

  • A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 6 years of experience performing data analytics

  • A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative…