NYC 299 Park Avenue (22957), United States of America, New York, New York
Senior Associate - Quantitative Analysis, Derivatives Pricing Model Validation
At Capital One data is at the center of everything we do. As a startup, we disrupted the credit card industry by individually personalizing every credit card offer using statistical modeling and the relational database, cutting edge technology in 1988! Fast-forward a few years, and this little innovation and our passion for data has skyrocketed us to a Fortune 200 company and a leader in the world of data-driven decision-making.
As a Quantitative Analyst at Capital One, you'll be part of a team that's leading the next wave of disruption at a whole new scale, using the latest in cloud computing and machine learning technologies and operating across billions of customer records to unlock the big opportunities that help everyday people save money, time and agony in their financial lives.
As a Senior Associate, Quantitative Analyst within the Model Risk Office, you will be part of the model validation team, and be responsible for ensuring the accuracy and robustness of the firm's market risk and counterparty risk models. Validations cover all aspects of model development and performance and include forward-looking advancements in model sophistication and quality. You will enhance your technical and analytical skills, while also working closely with business leaders to influence business strategy. With a network of over 200 quantitative analysts and statisticians, we've created a dynamic environment with plenty of room for you to learn, grow, and realize your full potential
Responsibilities and Skills:
- Partner with the various lines of business to enhance modeling and analytical framework.
- Work across Capital One entities to create novel analytical solutions to the challenging business problems.
- Identify opportunities to apply quantitative methods and automation solutions to improve business performance and process efficiencies.
- Collaborate in a cross-disciplinary team to build cloud-based solutions grounded in data.
- Identify opportunities to apply quantitative methods or machine learning to improve business performance.
- Understanding business processes associated with model use, and the nature of model use within these processes;
- Assessing the methodologies and processes used by modeling teams to develop and manage their models, and identifying potential weaknesses and the associated materiality of the risk;
- Document validation processes and results; develop benchmarking models;
- Analyze complex data to identify data integrity issues;
- Research industry practices related to derivative modeling methodologies.
Expertise in quantitative analysis is central to our success in all markets. Our modelers thrive in a culture of mutual respect, excellence and innovation.
Successful candidates would possess:
- Strong understanding of quantitative analysis methods in relation to financial institutions.
- Solid understanding of derivative pricing, e.g., valuation of fixed income, commodity, or FX derivatives. Understanding of financial asset valuation principles for vanilla and exotic derivatives.
- Ability to clearly communicate modeling results to a wide range of audiences.
- Drive to develop and maintain high quality and transparent model documentation.
- Strong written and verbal communication skills.
- Strong presentation skills.
-Bachelor's Degree plus at least 5 years of experience in data analytics, or Master's Degree
- At least 1 year of experience in data analytics, financial modeling or econometric modeling (can include Graduate School Research work).
- At least 1 year of programming experience.
- Master's Degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related discipline.
- 1 year of experience with financial derivatives, such as, swaps, options, etc.
- 1 year of experience with Python, R or other statistical software
- 2 years of experience with data analysis
Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
The minimum and maximum full-time annual salaries for this role are listed below, by location. Please note that this salary information is solely for candidates hired to perform work within one of these locations, and refers to the amount Capital One is willing to pay at the time of this posting. Salaries for part-time roles will be prorated based upon the agreed upon number of hours to be regularly worked.
Location is New York City
- $128,783 and $151,935 for Sr Assoc,Quantitative Analysis
Candidates hired to work in other locations will be subject to the pay range associated with that location, and the actual annualized salary amount offered to any candidate at the time of hire will be reflected solely in the candidate's offer letter.
No agencies please. Capital One is an Equal Opportunity Employer committed to diversity and inclusion in the workplace. All qualified applicants will receive consideration for employment without regard to sex, race, color, age, national origin, religion, physical and mental disability, genetic information, marital status, sexual orientation, gender identity/assignment, citizenship, pregnancy or maternity, protected veteran status, or any other status prohibited by applicable national, federal, state or local law. Capital One promotes a drug-free workplace. Capital One will consider for employment qualified applicants with a criminal history in a manner consistent with the requirements of applicable laws regarding criminal background inquiries, including, to the extent applicable, Article 23-A of the New York Correction Law; San Francisco, California Police Code Article 49, Sections 4901-4920; New York City's Fair Chance Act; Philadelphia's Fair Criminal Records Screening Act; and other applicable federal, state, and local laws and regulations regarding criminal background inquiries.
If you have visited our website in search of information on employment opportunities or to apply for a position, and you require an accommodation, please contact Capital One Recruiting at 1-800-304-9102 or via email at RecruitingAccommodation@capitalone.com . All information you provide will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.
For technical support or questions about Capital One's recruiting process, please send an email to Careers@capitalone.com
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Capital One Financial is made up of several different entities. Please note that any position posted in Canada is for Capital One Canada, any position posted in the United Kingdom is for Capital One Europe and any position posted in the Philippines is for Capital One Philippines Service Corp. (COPSSC).