Manager, Quantitative Analysis - Model Risk Office
Capital One
New York, NY, US
Base: $215,200 - $245,600 (new york); bonus/equity...
Statistical or econometric modeling expertise
Programming in python, r, or sql
Experience with linear and logistic regression
The role involves validating models used for derivative pricing and risk management to ensure accuracy and robustness for senior management and regulators
Job Summary
The role involves validating models used for derivative pricing and risk management to ensure accuracy and robustness for senior management and regulators.
Candidates will leverage open source technologies and machine learning to assess model risks while communicating complex technical results to non-specialist audiences.
Capital One offers a competitive salary range of $215,200 - $245,600 for New York-based candidates along with performance-based incentive compensation.
Matching Summary
The role involves validating models used for derivative pricing and risk management to ensure accuracy and robustness for senior management and regulators.
Salary
Base: $215,200 - $245,600 (New York); Bonus/Equity: Performance based incentive compensation available; Benefits: Comprehensive health, financial, and other benefits included
Skills & Requirements
Must-have
Statistical or econometric modeling expertise
Programming in Python, R, or SQL
Experience with linear and logistic regression
Ability to present concepts to non-statistical audiences
Understanding of derivative valuation and risk models
Nice-to-have
Strong communication skills for diverse stakeholders
Drive to continuously improve work processes
Experience with Agile development methodologies
Passion for latest analytical technologies
Collaborative culture fit
Key Requirements
Master's degree in quantitative field plus 4 years experience OR PhD plus 1 year
At least 4 years experience in statistical modeling and programming
At least 4 years experience presenting to non-statistical audiences
Experience with CCAR regulatory requirements preferred