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Principal Quantitative Programmer

Capital One


Location:
McLean, VA
Date:
09/18/2017
2017-09-182017-10-17
Job Code:
capitalone2-R33643
Categories:
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Job Details

Company Capital One

Job Title: Principal Quantitative Programmer

JobID: capitalone2-R33643

Location: McLean, VA, 22106, USA

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



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.



Guided by our shared values, we thrive in an environment where collaboration and openness are valued. We believe that innovation is powered by perspective and that teamwork and respect for each other lead to superior results. We elevate each other and obsess about doing the right thing. Our associates serve with humility and a deep respect for their responsibility in helping our customers achieve their goals and realize their dreams. Together, we are on a quest to change banking for good.



Principal Quantitative Programmer



Capital One is seeking a motivated professional to join the QRM Model Development and Engineering team as a Quantitative Programmer. This team is part of the Balance Sheet Management group and owns Cash Flows modeling and forecasting capabilities in the company’s risk management platform, Quantitative Risk Management (QRM). The Quantitative Programmer will implement econometric and prepayment models within the QRM system or by coding in C++ based DLL integrated with the QRM system. These models are used for interest rate risk management, financial planning and stress testing.



**Responsibilities:**



+ Build econometric and prepayment models within QRM or build C++ based DLLs and integrate with QRM based on the requirements from Balance Sheet Management Quant team for interest rate risk management and stress testing

+ Design and implement quant models by developing flexible, efficient and maintainable code in C++/C

+ Review, refactor and optimize the existing model implementations that are built in C++ Create detailed documentation and support model users from Interest Rate Risk, FTP, and stress testing teams

+ Collaborate with Balance Sheet Management IT team in developing an efficient and automated production process

+ Review model implementation details with Model Risk Office and seek approvals

+ Understand relevant business processes associated with model use, with the ability to interpret model results for business use, performance monitoring, and risk assessment



**Basic Qualifications:**



+ Master’s Degree

+ 3+ years of experience in programming with C++/C/C#



**Preferred Qualifications**



+ Master’s Degree in Engineering, Finance, Mathematics, Computer Science

+ 3+ years of experience in QRM (Quantitative Risk Management)

+ CFA designation or Financial Risk Management certification

+ At least 3 years’ experience in building quantitative econometric/financial models.

+ Strong conceptual and analytical background in Finance and programming with the ability to provide insightful solutions

+ Strong interpersonal and influencing skills across different teams

+ Results driven, with the ability to work both independently and in project teams



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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