Manager, Quantitative Analysis - Global Finance
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.
This position offers a unique opportunity to be a part of the dynamic Finance organization at Capital One. The Finance organization has been on a technology journey seeking to find ways to leverage technology to drive deeper insights and make the complex simple. We are looking for candidates to help in our journey with modeling, analytical and/or model implementation skills to join our finance team.
Responsibilities and Skills:
Develop, implement, and calibrate term structure models. This role involves creating robust frameworks to accurately capture interest rate dynamics, enabling precise pricing of fixed-income instruments and effective risk management.
Calibrate model parameters by developing algorithms that achieve the "best fit" to the current volatility surface using market data, including swaps, bonds, and swaptions.
Integrate yield curve models across various lines of business to support finance organization modeling use cases, including interest rate risk analytics and stress testing.
Partner with the various lines of business to develop and enhance Capital Markets modeling and analytical framework, such as deposit predictions, derivatives models and fixed income models.
Work across Capital One entities to create novel analytical solutions to 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.
Apply deep expertise in mathematics, statistical and machine learning methods to generate critical insights and decision frameworks for our business and customers.
Providing technical guidance to business leadership.
Communicate technical subject matter clearly and concisely to individuals from various backgrounds.
Understand and navigate Risk Management Software to enable business analysis.
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:
Deep understanding of quantitative modeling in relation to finance, deposit behaviors, capital markets and investment portfolio modeling principles.
Extensive experience in Python or other object-oriented language.
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.
Ability to fully own the model development process: from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring.
Deep understanding of stochastic calculus, partial differential equations (PDEs) and monte carlo simulations.
Proficient in developing and implementing yield curve term structure models (e.g., Hull-White, Black-Karasinski) and multi-factor models (e.g., HJM or LMM) to capture the complexities of the term structure.
Basic Qualifications:
Currently has, or is in the process of obtaining one of the following with an expectation that the required degree will be obtained on or before the scheduled start date:
A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 6 years of experience performing data analytics
A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience performing data analytics
A PHD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience performing data analytics
Preferred Qualifications:
PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines.
5+ years of experience in statistical modeling, regression analytics or machine learning.
4+ years of credit risk modeling experience for commercial banks (default probability, loss given default, or exposure at default.)
2+ years of experience managing a team of analysts.
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.
McLean, VA: $197,300 - $225,100 for Manager, 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.
This role is also eligible to earn performance based incentive compensation, which may include cash bonus(es) and/or long term incentives (LTI). Incentives could be discretionary or non discretionary depending on the plan.
Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being. Learn more at the Capital One Careers website (https://www.capitalonecareers.com/benefits) . Eligibility varies based on full or part-time status, exempt or non-exempt status, and management level.
This role is expected to accept applications for a minimum of 5 business days.
No agencies please. Capital One is an equal opportunity employer (EOE, including disability/vet) committed to non-discrimination in compliance with applicable federal, state, and local laws. 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
Capital One does not provide, endorse nor guarantee and is not liable for third-party products, services, educational tools or other information available through this site.
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).
