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Sr. Quantitative Analyst -Market Risk

Capital One

McLean, VA
Job Code:
  • Financial Services
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Job Details

Company Capital One

Job Title: Sr. Quantitative Analyst -Market Risk

JobID: capitalone2-R21619

Location: McLean, VA, 22106, USA

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

Sr. Quantitative Analyst -Market Risk

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.

The Asset Liability Management (ALM) Oversight group is selectively recruiting for a Sr. Quantitative Analyst in our Mclean location.


- Assessing the current state of Capital One’s Market Risk management framework, and identify areas for potential enhancement

- Leverage understanding of the fundamentals of interest rate risk management to evaluate ALM measurement techniques

- Helping to identify the sensitivity of Capital One’s balance sheet to various changes in interest rates and key assumptions

- Assess the methodologies and processes used by modeling teams to develop and manage their models, and identify potential weaknesses and the associated materiality of the risk

- Provide effective challenge on key model inputs, and perform assumption sensitivity on key variables

- Closely tracking IRR regulatory updates and helping to ensure that Capital One’s internal policies are compliant.

- Coordinating weekly meetings to communicate important updates to the Chief Market and Liquidity Risk Officer.

-Ad-Hoc analysis on a wide variety of interest rate/FX risk projects

**Basic Requirements:**

- Bachelor’s Degree

- At least 1 year of experience in statistical or financial modeling

**Preferred Qualifications:**

- Master’s degree in a quantitative discipline: Applied mathematics, Statistics, Operations research, Financial engineering

-2 years’ experience in Quantitative Risk Modeling or 2 years’ experience in Interest Rate Risk modeling

- Familiar with the fundamentals or interest rate risk measurement and management

- Good Knowledge of hedging and funding instrument (swaps, options etc.)

- Strong written and verbal communication skills

- Extensive knowledge of macroeconomics and divers of balance sheet performance

- Knowledge of statistical/economic modeling: Linear Regression, Time series, stochastic calculus, machine learning etc.

- Expert in Excel (Pivot Table); experience with VBA or other programming language (R or SAS or Python etc.) is a plus

- Chartered Financial Analyst (CFA) OR Financial Risk Manager (FRM)

**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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