Senior Quantitative Analysis Manager

4 weeks ago

Dinan, Bretagne, United States Capital One Full time
Job Summary

As a Senior Manager of Quantitative Analysis within the Model Risk Office at Capital One, 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.

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

Requirements:

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
Ability 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

Education:

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

About Capital One:

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.

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