Capital One, a top 5 bank, is looking for a Senior Manager for its Market Risk Model Validation team. This individual, along with his/her peers, will be responsible for ensuring the accuracy and robustness of the firm’s key Market Risk, Asset Liability and Treasury models. Clients of the group include senior management, business heads, internal audit, and the regulators. This individual will report into the Model Risk Office and work closely with the Treasury and Balance Sheet Management groups.
- Conduct independent validations of key models used by the Treasury and Balance Sheet Management groups. This will require a thorough understanding of the models’ frameworks and how they are used in ultimately making business decisions. Design, plan and carry-out validation tasks.
- Present the findings of these validations to senior management, as well as follow up on remediation efforts.
- Monitor model performance, review model changes and document model governance decisions to comply with model policy.
- Oversee the work of and mentor junior staff.
- Masters degree with clear quantitative bias: Finance, Financial Engineering, Economics, or other hard sciences.
- 5+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Market Risk management, Asset Liability management, Mortgage4 or Asset-backed securities, and prepayment or loss modeling.
- 3+ years of hands on QRM-BSM (Balance Sheet Management) experience or equivalent.
TBEFC Job Audit, Risk Management and Security Primary Location United States-Virginia-McLean-Northern VA-McLean Campus (19050) Schedule Full-time Travel Yes, 10 % of the Time Job Posting Unposting Date
- Ph.D. in a quantitative field.
- 7+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Market Risk management, Asset Liability management, Mortgage4 or Asset-backed securities, and prepayment or loss modeling.
- CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager).
- Excellent oral and written communication skills.
- Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
- Capital One is an equal opportunity employer committed to diversity in the workplace. We promote a drug-free work environment. We emphasize recruiting, hiring, and retaining the most qualified candidates and providing them with the opportunity to meet their potential. We provide an environment where differences lead to solutions.
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