Capital One Senior Manager Quantitative Analysis - Model Risk Management 

United States, Virginia, Arlington 

175742116

Center 2 (19050), United States of America, McLean, Virginia Senior Manager, Quantitative Analysis - Model Risk Management

Responsibilities and Skills:

• Conduct independent review and effective challenge of Mortgage Prepayment and Investment Portfolio models to ensure that the models are robust, intuitive, well-grounded and under proper model risk governance

• Collaborate with other modeling teams to ensure a coherent and cohesive suite of models for interest rate risk and CCAR process

• Work effectively with modeling teams and other model risk teams to ensure prompt and comprehensive support for audit and regulatory exams

• Maintain the existing suite of models and tools for accuracy, compliance, and user support

• Manage model validation project timelines against the needs and capacity of the team

• Effectively communicate technical subject matter to individuals from various backgrounds both verbally and through written materials

• Identify opportunities to apply quantitative methods and automation solutions to improve business performance and process efficiencies

Successful candidates would possess:

• Strong understanding of quantitative analysis methods in relation to mortgage prepayment, interest rate market, term structure, derivatives and fixed income valuation such as MBS securities, and CCAR testing; Able to apply these skills toward developing models and assessing model risks and opportunities

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

• Strong coding skills in R or Python and drive to create efficient, accurate, and maintainable code with best practices

• Ability to clearly communicate modeling results to a wide range of audiences and maintain high standards of documentation

• Intellectual curiosity and a drive to produce best estimates that balance confidence and uncertainty

• Reverence for processes, controls, governance, and infrastructure

• Ability to manage a small team and projects that require cross-team collaboration

• Demonstrated experience working with mortgage prepayment and MBS valuation

• Excellent written and verbal communication skills, with the ability to effectively communicate complex ideas to senior management and non-technical audiences

Basic Qualifications:

• Currently has, or is in the process of obtaining a Bachelor’s Degree plus at least 7 years of experience in data analytics, or currently has, or is in the process of obtaining a Master’s Degree plus at least 5 years of experience in data analytics, or currently has, or is in the process of obtaining PhD plus at least 2 years of experience in data analytics, financial modeling or econometric modeling (can include Graduate School Research work) with an expectation that required degree will be obtained on or before the scheduled start date

Preferred Qualifications:

• PhD in Financial Engineering, Mathematics, Operations Research, Finance, Physics or Economics, or related disciplines

• 7+ years of experience in mortgage prepayment modeling and investment portfolio (e.g. MBS) modeling experience

• 3+ years of experience in capital market, fixed income, term structure and derivatives modeling

• 2+ years of experience in statistical modeling, regression analytics or machine learning applications

• 2+ years of experience managing a team of analysts

. Eligibility varies based on full or part-time status, exempt or non-exempt status, and management level.

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 . All information you provide will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.