Manager, Capital Markets

Capital One - McLean, VA4.0

Full-timeEstimated: $140,000 - $180,000 a year
EducationSkills
McLean 1 (19050), United States of America, McLean, Virginia
At Capital One, we’re building a leading information-based technology company. Still founder-led by Chairman and Chief Executive Officer Richard Fairbank, Capital One is on a mission to help our customers succeed by bringing ingenuity, simplicity, and humanity to banking. We measure our efforts by the success our customers enjoy and the advocacy they exhibit. We are succeeding because they are succeeding.

Guided by our shared values, we thrive in an environment where collaboration and openness are valued. We believe that innovation is powered by perspective and that teamwork and respect for each other lead to superior results. We elevate each other and obsess about doing the right thing. Our associates serve with humility and a deep respect for their responsibility in helping our customers achieve their goals and realize their dreams. Together, we are on a quest to change banking for good.

Manager, Capital Markets

Capital One, a Fortune 500 company and one of the nation’s top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. We offer a broad spectrum of financial products and services to consumers, small businesses and commercial clients. We nurture a work environment where people with a variety of thoughts, ideas and backgrounds, guided by our shared Values, come together to make Capital One a great company and a great place to work.

This position in Capital One’s Capital Markets Analytics - Trade Analytics and Valuation team offers the candidate a unique opportunity to be part of a dynamic analytics and modeling team and work with various cross-functional teams, with a focus of providing expertise and leading the company’s valuation and reporting of derivatives. This role requires a deep understanding of products across Interest Rates, Foreign Exchange, and Commodities.

Responsibilities:
Take ownership of the valuation and risk reporting for the traded market portfolios, including Interest Rates, FX, and Commodities
Monthly and quarterly presentation of valuation results to various stakeholders and senior executives (ALM team, Balance Sheet management, Model Risk Office).
Ensure that modeling assumptions to the valuation process are well grounded and regularly monitored and updated as appropriate. Ensure that reporting is in compliance with various regulations
Work with model governance group to support model and methodology changes
Partner with the Trading Desk and other cross-functional teams to enhance model implementation within Murex, Wall Street Systems, and TriplePoint.
On-going dialogue with the Trading Desk, Commercial and other teams to understand the risk management and business needs and develop modeling tools to support the business initiatives
Monitor mortgage market/policy/product updates and partner with the Trading Desk to assess actions required for the models; develop and implement test models as needed
Enhance the modeling approach related to the Derivatives CCAR/DFAST stress testing process
Partner with the Production and IT teams to identify and implement process enhancement initiatives
Own the relationship with the Model Risk Office and internal/external auditors for modeling matters

Basic Qualifications:
  • Master’s Degree in Statistics, Economics, Mathematics, Financial Engineering, Engineering, Operations Research, Physics, Finance, Business or Technology
  • At least 3 years’ experience in Derivatives Analytics and Valuation
  • At least 3 years’ experience with securities, whole loans, derivatives or other fixed income products
  • At least 2 years’ experience with MS Excel and PowerPoint
Preferred Qualifications:
  • 5+ years’ experience in derivatives analytics and valuation
  • 3+ years’ experience with Capital Markets
  • 3+ years’ experience with data analysis, Database skills, SQL, SAS, Python, R
  • Experience working with Bloomberg, PolyPaths, QRM or other fixed income analytics tools
  • Strong community skills and ability to explain model theories, implementation and impact and communicate results across the organization
  • Strong understanding of primary risk metrics used in mortgage valuation process
  • Ability to work effectively in a team environment, deliver accurate results, and adhere to tight deadlines
  • Strong communication skills