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Responsibilities:
Perform research and analysis into issues involving foreign exchange risk, market risk and basis risk
Explore new digital tools to streamline and automate existing processes, build data visualizations and create ad hoc data analysis to provide analytical insights and improve operational efficiency, using Python, SQL, Quicksight and more
Recommend and enhance existing risk measurement methodologies to provide greater line of sight to market risk drivers
Assist in the development of quantitative and empirically supported "through the cycle" risk targets for interest rate risk to include duration and convexity targeting, and risk positioning along the curve relative to established risk limits
Drive the cross-functional development of sophisticated balance sheet optimization models, taking into consideration multiple factors including earnings, rate risk profile, funding, capital, hedge accounting and other factors
Collaborate on cross-functional Capital Markets and Analytics (CMA) imperatives including CCAR, corporate strategy initiatives, the integration and risk mitigation of bank acquisitions
Collaborate on ASC 815 compliant hedging strategy development including researching FAS 133 accounting implications
Manage existing ASC 815 derivatives hedging programs to ensure that we optimally leverage our hedge capacity and remain within management limits
Structure derivative executions to ensure hedge ineffectiveness is minimized and all hedge accounting requirements are met
Basic Qualifications:
Bachelor's Degree or military experience
At least 2 years of experience in Capital Markets or Asset and Liability Management (ALM)
Preferred Qualifications:
At least 3 years of experience in Financial Services
Chartered Financial Analyst (CFA) Charterholder or Financial Risk Manager (FRM) Certified or Certified Public Accountant (CPA)
At least 2 years of experience with Murex or Bloomberg
At least 2 years of experience with SQL or Python
At least 2 years of experience with ASC 815 Hedge Accounting
At least 2 years of experience with bank products including credit cards or mortgage securities or loans or deposits or commercial lending or securitizations
. 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.
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