Director, Capital Markets Model Validation Job
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Job Code:
1682383A0
Country:
United States
State:
-
City:
McLean
Post Code:
22101
Address:
Post Date:
02/23/2012
Director, Capital Markets Model Validation-712004
Description
Capital One is an award-winning employer and Top 10 Bank. Join our growing team as a Director of Capital Markets Model Validation to lead a group in the validation of quantitative models to value and measure risk on a wide arrange of financial assets and liabilities (e.g. loans, deposits, investments, fixed income securities, mortgages, derivatives, etc.), as well as calculating regulatory and economic capital.
Our new Director of Capital Markets Model Validation will have an unusual combination of quantitative skills paired with a keen understanding of Capital One's business. The opportunity will encompass:
- Organizing and executing complex validation projects with the purpose of mitigating model risk, per OCC 2000-16 and 2011-12 guidelines.
- Utilizing advanced financial, economic and statistical concepts to analyze the conceptual soundness of models used by management in business decisions such as pricing, risk management and capital allocation.
- Researching, evaluating and implementing modeling best practices to benchmark existing models.
- Influencing positive change through leadership, sound quantitative analysis and demonstrated subject matter expertise.
- Mentoring and training junior staff.
- Interacting with auditors and regulators.
- Contributing to model policy enhancements.
Qualifications
Basic Qualifications
- Master degree in a quantitative field: Finance, Statistics, Mathematics, Physics, Economics or other hard science.
- Deep understanding of financial asset/liability pricing and risk methodologies: Cash flow forecasting, stochastic calculus, Monte Carlo simulation, lattices/trees, finite differences, advanced statistical modeling (time series and panel data), or multivariate distribution theory.
- 7+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Risk Management, Asset Liability Management, Mortgage-Backed Securities, Asset-Backed Securities, prepayment, default or loss modeling.
- Excellent communication and presentation skills.
Preferred Qualifications
- PhD in a quantitative field: Finance, Statistics, Mathematics, Physics, Economics or other hard science.
- 10+ years in financial services.
- 3+ years of experience managing staff of highly educated professionals.
- Ability to influence positive change at all levels in the organization.
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: Audit, Risk Management and Security
Primary Location: United States-Virginia-McLean-Northern VA-McLean Campus (19050)
Schedule: Full-time
Travel: No
Job Posting:
Unposting Date:
Description
Capital One is an award-winning employer and Top 10 Bank. Join our growing team as a Director of Capital Markets Model Validation to lead a group in the validation of quantitative models to value and measure risk on a wide arrange of financial assets and liabilities (e.g. loans, deposits, investments, fixed income securities, mortgages, derivatives, etc.), as well as calculating regulatory and economic capital.
Our new Director of Capital Markets Model Validation will have an unusual combination of quantitative skills paired with a keen understanding of Capital One's business. The opportunity will encompass:
- Organizing and executing complex validation projects with the purpose of mitigating model risk, per OCC 2000-16 and 2011-12 guidelines.
- Utilizing advanced financial, economic and statistical concepts to analyze the conceptual soundness of models used by management in business decisions such as pricing, risk management and capital allocation.
- Researching, evaluating and implementing modeling best practices to benchmark existing models.
- Influencing positive change through leadership, sound quantitative analysis and demonstrated subject matter expertise.
- Mentoring and training junior staff.
- Interacting with auditors and regulators.
- Contributing to model policy enhancements.
Qualifications
Basic Qualifications
- Master degree in a quantitative field: Finance, Statistics, Mathematics, Physics, Economics or other hard science.
- Deep understanding of financial asset/liability pricing and risk methodologies: Cash flow forecasting, stochastic calculus, Monte Carlo simulation, lattices/trees, finite differences, advanced statistical modeling (time series and panel data), or multivariate distribution theory.
- 7+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Risk Management, Asset Liability Management, Mortgage-Backed Securities, Asset-Backed Securities, prepayment, default or loss modeling.
- Excellent communication and presentation skills.
Preferred Qualifications
- PhD in a quantitative field: Finance, Statistics, Mathematics, Physics, Economics or other hard science.
- 10+ years in financial services.
- 3+ years of experience managing staff of highly educated professionals.
- Ability to influence positive change at all levels in the organization.
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: Audit, Risk Management and Security
Primary Location: United States-Virginia-McLean-Northern VA-McLean Campus (19050)
Schedule: Full-time
Travel: No
Job Posting:
Unposting Date:
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