Manager, Quantitative Analysis -Capital Markets
McLean 1 (19050), United States of America, McLean, Virginia
At Capital One, we're building a leading information-based technology company. Still founder-led by Chairman and Chief Executive Officer Richard Fairbank, Capital One is on a mission to help our customers succeed by bringing ingenuity, simplicity, and humanity to banking. We measure our efforts by the success our customers enjoy and the advocacy they exhibit. We are succeeding because they are succeeding.
Guided by our shared values, we thrive in an environment where collaboration and openness are valued. We believe that innovation is powered by perspective and that teamwork and respect for each other lead to superior results. We elevate each other and obsess about doing the right thing. Our associates serve with humility and a deep respect for their responsibility in helping our customers achieve their goals and realize their dreams. Together, we are on a quest to change banking for good.
Manager, Quantitative Analysis -Capital Markets
Capital One, a Fortune 500 company and one of the nation's top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. We offer a broad spectrum of financial products and services to consumers, small businesses and commercial clients. We nurture a work environment where people with a variety of thoughts, ideas and backgrounds, guided by our shared Values, come together to make Capital One a great company and a great place to work.
As a Quantitative Analysis Manager within the Model Risk Office, you will be part of the model validation team, working on the validation of capital markets and stress testing models. Some of the models the team covers include, but not limited to, derivatives valuation, term structure models, economic capital, investment valuation and OTTI. You will enhance your technical and analytical skills, while also working closely with business leaders to influence business strategy. With a network of over 200 quantitative analysts and statisticians, we've created a dynamic environment with plenty of room for you to learn, grow, and realize your full potential.
Specific responsibilities may include, but are not limited to:
- Leading model validation projects in capital markets, assessing the methodologies and processes used in model development, evaluating the model performance and, wherever applicable, developing benchmarking models
- Solving business problems with limited data and making conclusions with analytical justifications
- Providing constructive and actionable solutions to model issues identified
- Independently research, identify and prototype industry best modeling practices
- Communicating validation results to management, model owners, regulators, and auditors
- Leveraging education, colleagues and training opportunities to innovate solutions to business problems
- Collaborating horizontally in risk management, assisting in other validation resource gaps as needed
- Master's Degree
- At least 3 years' professional experience in Fixed Income or Derivatives
- At least 1 year of experience programming in C,C#,C++, Python or MATLAB
- Doctorate in quantitative fields
- 5+ years in no-arbitrage pricing and interest rate modeling
- 5+ years in fixed income analysis or hedging
- Hands on experience with Polypaths, Murex, Calypso, QRM, Intex or Trepp
- Direct work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulation
- Skilled programming in Python, R or other open-sourced languages
Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
No agencies please. Capital One is an Equal Opportunity Employer committed to diversity in the workplace. All qualified applicants will receive consideration for employment without regard to sex, race, color, age, national origin, religion, physical and mental disability, genetic information, marital status, sexual orientation, gender identity/assignment, citizenship, pregnancy or maternity, protected veteran status, or any other status prohibited by applicable national, federal, state or local law. Capital One promotes a drug-free workplace. Capital One will consider for employment qualified applicants with a criminal history in a manner consistent with the requirements of applicable laws regarding criminal background inquiries, including, to the extent applicable, Article 23-A of the New York Correction Law; San Francisco, California Police Code Article 49, Sections 4901-4920; New York City's Fair Chance Act; Philadelphia's Fair Criminal Records Screening Act; and other applicable federal, state, and local laws and regulations regarding criminal background inquiries.
If you require an accommodation to apply for a job or to perform a job, please contact Capital One Recruiting at 1-800-304-9102 or
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