Senior Quantitative AnalystApply now Job ID R77276 Updated date 06/05/2019 Location New York, New York
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.
This Quant role is to develop market risk models for the Capital Markets line of business. These models are critical to enabling continued prudent growth of the Commercial Bank and other trading activity. The outputs of these models will be used in hedging trading risks, stress testing, risk-weighted assets, and limits monitoring.
- Take ownership of the model development process across all stages of model development including data collection, model build, model validation, testing and calibration
- Develop quantitative models based on statistical and mathematical principles and perform qualitative and quantitative data analysis and reporting by applying quantitative, mathematical, and statistical concepts, understanding of fixed income securities and derivatives pricing and risk methodologies, advanced tools such as VBA, C++, C#, Python or R, and data processing techniques including cash flow forecasting, stochastic calculus, Monte Carlo simulation, lattices/trees, finite differences, advanced statistical modeling (time series and panel data).
- Support related quantitative functions, including stress testing, capital adequacy analysis, and other ad hoc portfolio analytics
- Combine business experience and insights with econometric and statistical modeling skills to reach results that are both intuitive and technically sound
- Prepare detailed reports to senior management to be used in business decision making regarding the results of statistical analyses understandable by non-statisticians.
- Explore data visualization development using Python or another web-based platform to enhance current reporting abilities.
- Develop and maintain productive working relationships with stakeholders including the Front Office, Middle Office, Model Validation Group, Audit, and regulators
- Master’s Degree in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Physics, Finance, Business or Technology
- At least 1 year of experience in C#, C++ or Python
- Familiar with market risk models such as the Greeks, Value-at-Risk (VaR), Potential Future Exposure (PFE), etc.
- Stochastic calculus, Monte Carlo Simulation, lattices/trees, finite difference, advanced statistical modeling
- Extensive knowledge of capital markets products (eg. Rates, FX and Commodity derivatives)
- Strong written and verbal communication skills
- Professional qualifications (CFA, FRM, etc.) a plus
Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
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