Manager, Quantitative Analytics -Trade Analytics and Valuation
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 Analytics -Trade Analytics and Valuation
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.
This position in Capital One's Capital Markets Analytics - Trade Analytics and Valuation team offers the candidate a unique opportunity to be part of a dynamic analytics and modeling team and work with various cross-functional teams, with a focus of providing expertise and leading the company's valuation and reporting of residential and commercial mortgage servicing rights (MSR), as well as of performing mortgage prepayment and credit modeling work and research. We are currently looking for candidates with strong analytical and modeling skills to focus on mortgage and MSR pricing and valuation and securities prepayment and credit modeling, research and enhancement. This position will be a key player in enhancing the mortgage valuation function and modeling framework to support the company's investment portfolio and mortgage loans risk management practices and multiple business purposes.
- Take ownership of valuation and hedging analysis of Capital One's residential and commercial Mortgage Servicing Rights (MSR) portfolios.
- Lead the daily valuation and reporting of the Mortgage Servicing Rights portfolio.
- Perform pre-trade analysis for hedge rebalancing of the MSR portfolio
- Maintain and enhance MSR valuation models along with tools and processes for reporting out results to various stakeholders.
- Performing sensitivity analysis of the MSR portfolio to changes in a variety of economic variables (interest rates, spreads, implied volatilities, primary/secondary spreads, home prices)
- Monthly and quarterly presentation of valuation results to various stakeholders and senior executives (ALM team, Balance Sheet management, Model Risk Office).
- Ensure that modeling assumptions to the valuation process are well grounded and regularly monitored and updated as appropriate. Ensure that reporting is in compliance with various regulations
- Work with model governance group to support model and methodology changes
- Partner with the Trading Desk and other cross-functional teams to enhance prepayment and credit modeling framework and implementation in PolyPaths and QRM, including enhancing the vendor (LPS AA) model performance, automating reporting process and exploring pilot/benchmarking models as needed.
- On-going dialogue with the Trading Desk, Home Loans and other teams to understand the risk management and business needs and develop modeling tools to support the business initiatives
- Lead and/or contribute to the model development, validation and white paper documentation and deployment of prepay and credit models of products that do not have vendor model coverage, such as CMBS, ABS, etc.
- Monitor mortgage market/policy/product updates and partner with the Trading Desk to assess actions required for the models; develop and implement test models as needed
- Partner with the Derivatives team to assess and enhance the Term Structure model as related to mortgages
- Perform prepay and credit model testing, development and model governance work related to MBS securities, mortgage loans and ABS securities
- Enhance the modeling approach related to the Investment Portfolio CCAR/DFAST stress testing process
- Partner with the Production and IT teams to identify and implement process enhancement initiatives
- Own the relationship with the Model Risk Office and internal/external auditors for modeling matters
- Master's Degree in Statistics, Economics, Mathematics, Financial Engineering, Engineering, Operations Research, Physics, Finance, Business or Technology
- At least 3 years' experience in prepayment modeling or credit analytics
- At least 3 years' experience with mortgage securities, whole loans, derivatives or other fixed income products
- At least 2 years' experience with MS Excel and PowerPoint
- 5+ years' experience in securities or mortgage loan analytics and prepay/credit modeling
- 3+ years' experience with Capital Markets
- 3+ years' experience with data analysis, Database skills, SQL, SAS, Python, R
- Experience working with Bloomberg, PolyPaths, QRM or other fixed income analytics tools
- Strong community skills and ability to explain model theories, implementation and impact and communicate results across the organization
- Strong understanding of primary risk metrics used in mortgage valuation process
- Ability to work effectively in a team environment, deliver accurate results, and adhere to tight deadlines
- Strong communication skills
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 and inclusion 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 have visited our website in search of information on employment opportunities or to apply for a position, and you require an accommodation, please contact Capital One Recruiting at 1-800-304-9102 or via email at
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