| Job Description: |
High impact, high visibility position on the ALM Strategy team; develops market risk management strategies. Position is extremely analytical, requiring extensive capital markets and interest rate risk management experience in addition to exposure to financial derivatives; requires highly effective written and oral communication skills. Associate is expected to demonstrate market acumen in identifying market risks and opportunities and developing recommendations based on the Bank's exposure.
Responsibilities include:
• Lead research and analysis into issues involving market risk, basis risk, curve exposure and foreign exchange risk.
• Assist in the development of quantitative and empirically supported "through the cycle" risk targets for IRR to include duration and convexity targeting, and risk positioning along the curve relative to established risk limits.
• Lead FAS 133-compliant strategy development including researching FAS 133 accounting implications.
• Drive the cross-functional development, where needed, of sophisticated balance sheet optimization modeling, taking into consideration multiple factors including earnings, rate risk profile, funding, capital, hedge accounting and other factors.
• Recommend and enhance existing risk measurement methodologies to provide greater line of sight to market risk drivers.
• Collaborate on cross-functional Treasury imperatives including project management initiatives.
• Play a leadership role in integration activities involving bank acquisitions.
• Work with team and independently to identify market risks and opportunities and to develop and recommend strategies
Basic Qualifications:
• Bachelors Degree
• 4 years experience in Capital Markets and/or Asset/Liability Management
Preferred Qualifications:
• Bachelor's Degree in business administration, finance, economics, accounting or related field of study
• Master's Degree in business administration, finance, economics
• 7 Years experience in Capital Markets and/or Asset/Liability Management
• CFA or CPA
• Prior experience with QRM
• FAS 133 Hedge Accounting knowledge
• In-depth understanding of bank asset/liability management practices including knowledge of credit cards, complex mortgage securities, deposits, and securitizations
• Excellent communication and presentation skills
Capital One will not file non-immigrant visa petitions for alien workers. As a recipient of TARP funding subject to the ARRA, Capital One will not sponsor new H-1B petitions or transfer existing H1B visas for new hires to Capital One.
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