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Sr. Manager, Validation, Market Risk Models Job Details

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Sr. Manager, Validation, Market Risk Models (Ref: 624075)
Sector, Sub Sector: Other
Compliance Type: Regulatory/Compliance
Expertise: -
Company: Capital One
Location: McLean , Virginia
Employment Type: Permanent
Job Description:

Capital One, a top 10 bank, is looking for a Senior Manager for its Market Risk Model Validation team. This individual, along with their peers, would be responsible for ensuring the accuracy and robustness of the firm's key Market Risk models. Clients of the group include senior management, business heads, internal audit, and the regulators. The individual would report into to the Chief Scoring Officer's organization and work closely with the Treasury group.

Responsibilities:

  • Conduct independent validations of key models used by the Treasury group. This will require a thorough understanding of the models' frameworks and how they are used in ultimately making business decisions.
  • Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with OCC Bulletin 2000-16 as well as Capital One's policies and procedures
  • Present the findings of these validations to senior management

Basic Qualifications:

  • Bachelor's Degree
  • 2 years of experience with Market Risk models
  • 2 years of Model Validation experience

Preferred Qualifications:

  • 5+ years of experience with Market Risk Models
  • Advanced degree in Finance, Economics, Statistics, or Mathematics
  • Experience with Market Risk models such as Portfolio Valuation (fixed income, loans, and derivates), Asset Liability management, Asset-backed securities, Interest Rate Risk, and Prepayment
  • Direct experience working with Polypaths, Reval, Quantitative Risk Management (QRM), and ADCo, or other comparable vendor analytics systems
  • CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager)
  • Strong communication skills

At this time, Capital One will not sponsor a new applicant for employment authorization for this position.

Job Ref No: 624075