Manager, Quantitative Analysis - Model Risk Office

Capital One Financial

Actively hiring
New York, Ny, US Posted 70 days ago $215,200–$245,600 / year
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At a glance

AI generated

TL;DR

As a Manager of Quantitative Analysis at Capital One’s Model Risk Office in New York, you will lead the validation of market risk models used for derivative pricing and risk management. This role involves collaborating closely with business groups to ensure model accuracy and robustness, addressing technical issues in econometric, statistical, and machine learning modeling. You will develop innovative approaches to assess model design and communicate complex concepts clearly to diverse stakeholders, including senior management and regulators. Key responsibilities include leveraging Python or R for continuous improvement of models, maintaining transparent documentation, and applying best practices in a fast-paced environment. The ideal candidate has expertise in econometric theory, machine learning, and derivative modeling, with experience in CCAR regulatory requirements and Agile methodologies.

Skills

Python R SQL Machine Learning Agile CCAR regulatory requirements Derivative modeling Survival analysis Time-series analysis Panel data analysis Cross-sectional data analysis Large dataset management

What you'll do

  • Develop and validate models used for derivative pricing and risk management.
  • Assess model design and advance future capabilities using innovative tools.
  • Communicate complex technical concepts clearly to non-specialist audiences.
  • Maintain documentation of models to ensure transparency and quality.
  • Identify areas for improvement in existing modeling frameworks.

What we're looking for

  • Demonstrated track-record in modeling with Python or R
  • Experience in machine learning and econometric theory
  • Strong communication skills to explain technical concepts to non-specialists
  • 4 years of experience in statistical or econometric modeling
  • Knowledge of derivative pricing and risk management models
  • Familiarity with CCAR regulatory requirements and Agile methodologies
  • Ability to work with large datasets (>1M records)

Market check

Salary context

This $215,200–$245,600 range sits above 81% of similar postings on FindRole.

Peer median band

$147,075–$204,700

Median floor and ceiling across peers.

Typical midpoint (25–75%)

$148,262–$216,106

Middle half of comparable postings.

Based on 236 comparable postings.

* 240 is the maximum number of comparable postings sampled.

Employer

About Capital One Financial

Capital One Financial is a bank holding company specializing in credit cards, auto loans, banking, and savings products, known for its data-driven approach to consumer and commercial finance. Industry: Financial Services & Banking

Capital One Financial currently has 489 open roles on FindRole.

Listed pay typically runs $197,300–$225,100 across 483 roles with salary data.

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