Capital One
* Develop, implement, and calibrate term structure models. This role involves creating robust frameworks to accurately capture interest rate dynamics, enabling precise pricing of fixed-income instruments and effective risk management.* Calibrate model parameters by developing algorithms that achieve the "best fit" to the current volatility surface using market data, including swaps, bonds, and swaptions.* Integrate yield curve models across various lines of business to support finance organization modeling use cases, including interest rate risk analytics and stress testing.* Partner with the various lines of business to develop and enhance Capital Markets modeling and analytical framework, such as deposit predictions, derivatives models and fixed income models.* Work across Capital One entities to create novel analytical solutions to challenging business problems.* Identify opportunities to apply quantitative methods and automation solutions to improve business performance and process efficiencies.* Collaborate in a cross-disciplinary team to build cloud-based solutions grounded in data.* Identify opportunities to apply quantitative methods or machine learning to improve business performance.* Apply deep expertise in mathematics, statistical and machine learning methods to generate critical insights and decision frameworks for our business and customers.* Providing technical guidance to business leadership.* Communicate technical subject matter clearly and concisely to individuals from various backgrounds.* Understand and navigate Risk Management Software to enable business analysis.* Deep understanding of quantitative modeling in relation to finance, deposit behaviors, capital markets and investment portfolio
modeling principles.* Extensive experience in Python or other object-oriented language.* Ability to clearly communicate modeling results to a wide range of audiences.* Drive to develop and maintain high quality and transparent model documentation.* Strong written and verbal communication skills.* Strong presentation skills.* Ability to fully own the model development process: from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring.* Deep understanding of stochastic calculus, partial differential equations (PDEs) and monte carlo simulations.* Proficient in developing and implementing yield curve term structure models (e.g., Hull-White, Black-Karasinski) and multi-factor models (e.g., HJM or LMM) to capture the complexities of the term structure.* A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 6 years of experience performing data analytics* A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience performing data analytics* A PHD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience performing data analytics* PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines.* 5+ years of experience in statistical modeling, regression analytics or machine learning.* 4+ years of credit risk modeling experience for commercial banks (default probability, loss given default, or exposure at default.)* 2+ years of experience managing a team of analysts.Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being. Learn more at the . Eligibility varies based on full or part-time status, exempt or non-exempt status, and management level. #J-18808-Ljbffr
modeling principles.* Extensive experience in Python or other object-oriented language.* Ability to clearly communicate modeling results to a wide range of audiences.* Drive to develop and maintain high quality and transparent model documentation.* Strong written and verbal communication skills.* Strong presentation skills.* Ability to fully own the model development process: from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring.* Deep understanding of stochastic calculus, partial differential equations (PDEs) and monte carlo simulations.* Proficient in developing and implementing yield curve term structure models (e.g., Hull-White, Black-Karasinski) and multi-factor models (e.g., HJM or LMM) to capture the complexities of the term structure.* A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 6 years of experience performing data analytics* A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience performing data analytics* A PHD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience performing data analytics* PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines.* 5+ years of experience in statistical modeling, regression analytics or machine learning.* 4+ years of credit risk modeling experience for commercial banks (default probability, loss given default, or exposure at default.)* 2+ years of experience managing a team of analysts.Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being. Learn more at the . Eligibility varies based on full or part-time status, exempt or non-exempt status, and management level. #J-18808-Ljbffr