Description
We are seeking a Manager for our Model Validation team in the Model Risk Office at Capital One. The successful candidate will report to the Model Risk Office and work closely with business groups to ensure the accuracy and robustness of the firm's market risk models.
Responsibilities:
- Remain current with the latest analytical technologies and tools
- Develop model approaches to assess model design and advance future capabilities
- Understand relevant business processes and portfolios associated with model use
- Apply technical expertise in econometric, statistical, and machine learning modeling to develop models and assess model risks and opportunities
- Communicate technical subject matter clearly and concisely to individuals from various backgrounds
- Maintain model efficiency and accuracy through continuous improvement and best practices
- Develop and maintain high-quality documentation
- Leverage open-source technologies and tools to identify areas of opportunity in the existing framework
Requirements:
- Demonstrated track record in modeling and experience with model estimation tools such as Python or R
- Ability to communicate modeling results to management, model risk office, regulator, and other modelers
- Drive to continuously improve work in a collaborative fashion
- Experience in machine learning
- Strong communication skills with the ability to quickly understand existing models and new requirements/business needs
- Experience working with Agile development methodologies
- Strong grasp of econometric theory and methodologies
- Desire to remain current with the latest analytical technologies and tools
- Experience working with CCAR regulatory requirements
- Experience with derivative modeling
Basic Qualifications:
- Master's degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience in quantitative analytics
- A PhD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience in quantitative analytics
- At least 4 years of experience in each of the following skills: statistical or econometric modeling, linear and logistic regression, programming in R, Python, or SQL, and presenting statistical concepts and research results to non-statistical audiences
- At least 4 years of experience in at least 3 of the following skills: survival analysis modeling, time-series analysis, panel data analysis, cross-sectional data analysis, machine learning, and analysis and management of large datasets
Preferred Qualifications:
- 5 years of experience with Python, R, or other statistical analyst software
- 5 years of experience in statistical modeling or regression analytics or machine learning
- At least 2 years of experience in derivative modeling (Fixed income, Commodity, FX, or CDS)
Salary: $215,200 - $245,600 per year
Benefits: Capital One offers a comprehensive, competitive, and inclusive set of health, financial, and other benefits that support your total well-being.