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 relational database technology in 1988. Fast‑forward a few years, and this innovation and our passion for data have propelled us to a Fortune 200 company and a leader in data‑driven decision‑making.

As a Quantitative Analyst 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 big opportunities that help everyday people save money, time, and frustration in their financial lives.

Capital One is selectively recruiting for a Manager in our Model Validation team. You will report to the Model Risk Office and work closely with business groups, ensuring the accuracy and robustness of the firm’s market risk models. Clients include senior management, business leads, internal audit, and 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.

• 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

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

• 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

• 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 (or an MBA with a quantitative concentration) plus 4 years of experience performing data analytics
  • A PhD in a quantitative field plus 1 year of experience performing data analytics

• PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines
• At least 2…