Capital One is looking to ensure the accuracy and robustness of the firm's market risk models, specifically those used for derivative pricing and risk management.
Requirements
- Demonstrated track-record in modeling and experience utilizing model estimation tools such as Python or R
- Experience in machine learning
- Strong grasp of econometric theory and methodologies
- Experience working with CCAR regulatory requirements
- Experience with derivative modeling
- At least 2 years of experience with Python, R or other statistical analyst software
- At least 2 years of experience in statistical modeling or regression analytics or machine learning
Responsibilities
- Develop model approaches to assess model design and advance future capabilities
- Understand technical issues in econometric, statistical, and machine learning modeling and apply these skills toward developing models and assessing model risks and opportunities
- Communicate technical subject matter clearly and concisely to individuals from various backgrounds both verbally and through written communication; prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management
- Maintain the efficiency and accuracy of our models through continuous improvement and application of best practices
- Develop and maintain high quality and transparent documentation
- Leverage the latest open source technologies and tools to identify areas of opportunity in our existing framework
- Validate models, specifically those used for derivative pricing and risk management, including derivative valuation, market risk, and counterparty risk models.
Other
- Strong communication skills are essential to effectively engage with a diverse group of stakeholders, irrespective of their technical background.
- Communicate technical subject matter clearly and concisely to individuals from various backgrounds both verbally and through written communication; prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management
- Ability to clearly communicate modeling results to management, model risk office, regulator and other modelers
- Drive to continuously improve all aspects of their work in a collaborative fashion
- Strong communication skills with the ability to quickly understand existing models and new requirements/business needs
