Senior Manager, IRR Management

Imagine a Fortune 500 company with a real maverick streak. A financial powerhouse poised to redefine its own industry. Yes, Capital One has moved into the world of retail banking! Capital One Financial Corporation is a holding company offering an unmatched range of financial products and services to consumers, small businesses and commercial clients. We're headquartered in McLean, Virginia, with more than 316 locations in Texas and Louisiana - but our ambitions are truly national.



So what does this mean for you? How about the chance to excel in our supportive, team-oriented environment. To be challenged to advance your skills alongside the brightest talent in the business. And to take on important responsibility from day one while building a rewarding career - all with a fast-growing industry leader.



The Senior Manager, Interest Rate Risk Management will help transform Capital One’s interest rate risk management function to achieve strategic corporate objectives.



Develop Asset & Liability Management (ALM) strategies to effectively manage interest rate risk consistent with risk targets and return objectives



Measure and analyze interest rate risk of a large fixed income portfolio of mortgage-related assets (including mortgage servicing rights), credit card and auto loans, indeterminate-maturity deposits, debt, and derivatives



Generate ad-hoc analysis, risk positions, and reports to support interest rate risk management decisions



Specify business requirements and analytical methods to improve the ALM process and risk modeling infrastructure



Effectively communicate interest rate risk exposure and hedging strategies across the company
REQUIREMENTS
Required:



Two to four years experience in an Asset & Liability Management role analyzing/hedging interest rate exposure associated with mortgage-related products, fixed income securities, and interest rate derivatives/options (swaps and swaptions), and indeterminate-maturity deposits



Understanding of prepayment and interest rate models, return attribution, and Earnings-at-Risk/Value-at-Risk methods



Knowledge of analytical tools and methods used to assess relative value and risk characteristics of mortgages, interest-rate options, and other complex fixed income instruments



Ability to condense technical subject matter into clear and effective communications to senior management



Preferred:



Graduate degree in business with a finance concentration or professional certification (CFA)