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Manager, Quantitative Analysis -Capital Markets

Capital One

McLean, VA
Job Code:
  • Financial Services
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Job Details

Company Capital One

Job Title: Manager, Quantitative Analysis -Capital Markets

JobID: capitalone2-R20588

Location: McLean, VA, 22106, USA

Description: McLean 1 (19050), United States of America, McLean, Virginia

Manager, Quantitative Analysis -Capital Markets

Capital One, a Fortune 500 company and one of the nation’s top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. We offer a broad spectrum of financial products and services to consumers, small businesses and commercial clients. We nurture a work environment where people with a variety of thoughts, ideas and backgrounds, guided by our shared Values, come together to make Capital One a great company and a great place to work.

As a Quantitative Analysis Manager within the Model Risk Office, you will be part of the model validation team, working on the validation of capital markets and stress testing models. Some of the models the team covers include, but not limited to, derivatives valuation, term structure models, economic capital, investment valuation and OTTI. You will enhance your technical and analytical skills, while also working closely with business leaders to influence business strategy. With a network of over 200 quantitative analysts and statisticians, we’ve created a dynamic environment with plenty of room for you to learn, grow, and realize your full potential.

**Specific responsibilities may include, but are not limited to:**

- Leading model validation projects in capital markets, assessing the methodologies and processes used in model development, evaluating the model performance and, wherever applicable, developing benchmarking models

- Solving business problems with limited data and making conclusions with analytical justifications

- Providing constructive and actionable solutions to model issues identified

- Independently research, identify and prototype industry best modeling practices

- Communicating validation results to management, model owners, regulators, and auditors

- Leveraging education, colleagues and training opportunities to innovate solutions to business problems

- Collaborating horizontally in risk management, assisting in other validation resource gaps as needed

**Basic Qualifications** :

- Master’s Degree

- At least 3 years’ professional experience in Fixed Income or Derivatives

- At least 1 year of experience programming in C,C#,C++, Python or MATLAB

**Preferred Qualifications:**

- Doctorate in quantitative fields

- 5+ years in no-arbitrage pricing and interest rate modeling

- 5+ years in fixed income analysis or hedging

- Hands on experience with Polypaths, Murex, Calypso, QRM, Intex or Trepp

- Direct work experience with Option Adjusted Spread (OAS) methodologies and Monte Carlo simulation

- Skilled programming in Python, R or other open-sourced languages

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


At Capital One, we’re building a leading information-based technology company. Still founder-led by Chairman and Chief Executive Officer Richard Fairbank, Capital One is on a mission to help our customers succeed by bringing ingenuity, simplicity, and humanity to banking. We measure our efforts by the success our customers enjoy and the advocacy they exhibit. We are succeeding because they are succeeding.                                               

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