Senior Manager, Quantitative Analysis - Model Risk Management

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 the relational database, cutting edge technology in 1988!  Fast-forward a few years, and this little innovation and our passion for data has skyrocketed us to a Fortune 200 company and a leader in the world of data-driven decision-making.

As a Quantitative Analyst at Capital One, 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 the big opportunities that help everyday people save money, time and agony in their financial lives.

As a Senior Manager of Quantitative Analysis within the Model Risk Office, you will be part of the validation team responsible for Investment Portfolio and Mortgage Prepayment models used for Capital One’s Investment Portfolio Management.  Validations cover all aspects of model development and performance and include forward-looking advancements in modeling capabilities and quality. With a network of over 500 quantitative analysts, data scientists and statisticians, we’ve created a dynamic environment with ample opportunities for learning and growth. 

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

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 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

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.

McLean, VA: $225,400 - $257,200 for Sr Mgr, Quantitative Analysis

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.

This role is also eligible to earn performance based incentive compensation, which may include cash bonus(es) and/or long term incentives (LTI). Incentives could be discretionary or non discretionary depending on the plan.

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

This role is expected to accept applications for a minimum of 5 business days.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 (including pregnancy, childbirth or related medical conditions), race, color, age, national origin, religion, disability, genetic information, marital status, sexual orientation, gender identity, gender reassignment, citizenship, immigration status, protected veteran status, or any other basis prohibited under applicable 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 [email protected]. All information you provide will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.

For technical support or questions about Capital One’s recruiting process, please send an email to [email protected]

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Capital One Financial is made up of several different entities. Please note that any position posted in Canada is for Capital One Canada, any position posted in the United Kingdom is for Capital One Europe and any position posted in the Philippines is for Capital One Philippines Service Corp. (COPSSC).