Capital One is selectively recruiting for a Manager for a Model Validation team. The individual would report to the Model Risk Office and work closely with the business groups. This individual, along with their peers, would be responsible for ensuring the accuracy and robustness of the firm’s market risk models. Clients of the group include senior management, business leads, internal audit, and the regulators.

This position is responsible for validating models, specifically those used for derivative pricing and risk management, including derivative valuation, market risk, and counterparty risk models. Strong communication skills are essential to effectively engage with a diverse group of stakeholders, irrespective of their technical background.

Responsibilities:

• 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. 

Successful candidates will possess:

• 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

Basic Qualifications:

• Currently has, or is in the process of obtaining one of the following with an exception that the required degree will be obtained on or before the scheduled start date:

  • A Master’s degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience in quantitative analytics

  • A PhD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience in quantitative analytics

• At least 4 years of experience in each of the following skills through education or experience:

  • Statistical or econometric modeling

  • Linear and logistic regression

  • Programming in R, Python, or SQL

  • Presenting statistical concepts and research results to non-statistical audience

• At least 4 years of experience in at least 3 of the following skills:

  • Survival analysis modeling

  • Time-series analysis

  • Panel data (longitudinal data or cross-sectional time-series data) analysis

  • Cross-sectional data analysis

  • Machine learning

  • Analysis and management of large datasets (>1M records)

Preferred Qualifications:

• 5 years of experience with Python, R or other statistical analyst software

• 5 years of experience in statistical modeling or regression analytics or machine learning

• At least 2 years of experience in derivative modeling (Fixed income, Commodity, FX or CDS)

Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.

The minimum and maximum full-time annual salaries for this role are listed below, by location. Please note that this salary information is solely for candidates hired to perform work within one of these locations, and refers to the amount Capital One is willing to pay at the time of this posting. Salaries for part-time roles will be prorated based upon the agreed upon number of hours to be regularly worked.

Candidates hired to work in other locations will be subject to the pay range associated with that location, and the actual annualized salary amount offered to any candidate at the time of hire will be reflected solely in the candidate’s offer letter.

Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being. Learn more at the Capital One Careers website. Eligibility varies based on full or part-time status, exempt or non-exempt status, and management level.