Director, Quantitative Analysis: Model Validation – Market Risk and Treasury Models Job recruitment

Director, Quantitative Analysis: Model Validation - Market Risk and Treasury Models-718014

Description
Capital One, a top 5 bank, is looking for a Director for its Market Risk Model Validation team. This individual, along with their peers, would 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. The individual would report into to the Model Risk Office and work closely with the Treasury and Balance Sheet Management groups.

Responsibilities:

- Plan and execute projects to assess soundness of the implementation, modeling approaches and business assumptions of key models used by the Treasury and Balance Sheet Management groups. This will require a thorough understanding of the relevance of the data utilized, the models- conceptual framework, and how the models- output is in ultimately used in making business decisions

- Independently research, identify and prototype industry best modeling practices.

- Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with OCC Bulletin 2011-12

- Interact with the business managers and developers

- Present validation results to senior management

- Coach and mentor junior staff

Qualifications

Basic Qualifications:

- Advanced degree in a quantitative field: Finance, Economics, Statistics, Mathematics, or affine

- 5 years- experience as a user or developer of Market Risk and or Asset Liability Management analytics

- 3 years- experience as a hands-on user of Quantitative Risk Management (QRM)

Preferred Qualifications:

- 5+ years of experience as a user, validator of Market Risk, Capital Markets or Liquidity models

- Understanding of financial asset valuation principles (loans, securities, and derivatives) as well as market (as opposed to credit) risk analytics

- Direct experience working with one or more of the following: FinCAD, Polypaths, Reval, Murex, Calypso, Panorama, QRM, ADCO prepayment models, or other comparable vendor analytics systems

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

- Strong communication skills

*Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.

*No agencies please.

*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.

Job : Quantitative Analytics
Primary Location : United States-Virginia-McLean-Northern VA-McLean Campus (19050)
Schedule : Full-time
Travel : No

Job Posting :
Unposting Date :