Principal Associate, Liquidity Risk Management

Principal Associate, Liquidity Risk Management

The Liquidity Risk Management (LRM) team, within Capital One’s Capital Markets and Analytics (CMA) organization, is responsible for identifying, measuring and managing the company’s liquidity risk in accordance with applicable regulations and within our Board approved risk appetite levels. The team utilizes several key liquidity frameworks designed to appropriately analyze and manage the short and long-term liquidity risk across the firm. These frameworks are driven by both internal and regulatory considerations, including Capital One’s Internal Liquidity Stress Test (Fortify Funding), the Holding Company’s Liquidity position, Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), and Capital One’s Contingency Funding Plan.  These frameworks are key drivers in shaping the size and composition of the company’s liquidity buffer, as well as influencing the funding profile and strategic investments.

To ensure we accurately size and account for liquidity risk, it is essential that we understand and integrate evolving business drivers/requirements, new products, or acquisitions into these frameworks. This role on the LRM team offers a high performing candidate the unique opportunity to partner with various lines of business, Finance and Risk departments, and the Corporate Development team to gain a deep understanding of liquidity risk management practices, while utilizing all aspects of our underlying technology infrastructure to deliver best in class liquidity modeling.

This role will be primarily responsible for the monthly production for the Fortify Funding and Holding Company Coverage ratios, including managing the monthly execution and the annual assumption update process for each program. In addition, this role will be instrumental in setting strategy for balance sheet positioning to optimize Fortify Funding and our Holding Company Coverage Ratio. In addition to a core responsibility focused on monthly stress testing, this role will also gain exposure to Capital One’s full liquidity adequacy framework, inclusive of all internal and regulatory liquidity stress testing frameworks. This role will also serve as a support to the LCR and NSFR metrics, including operations and strategic deliverables. The ideal candidate will become well versed in both metrics to increase their leverage and impact on the team.
 

Responsibilities:

• Develop a complete understanding of Capital One’s Liquidity Risk Framework

• Develop an understanding of Reg YY and all underlying regulatory requirements and principles that feed into our frameworks

• Develop an understanding of our technology infrastructure which drives the data analysis and modeling of our liquidity stress tests

• Implement technical/business requirements for new Corporate Development initiatives and drive the delivery of these requirements for our four key stress testing frameworks

• Lead efforts to set balance sheet strategy to optimize for Fortify Funding and the Holding Company Coverage Ratio

• Communicate the impact of new products and initiatives to a wide array of stakeholders, including Finance Leadership, second, and third line partners

• Read and analyze python code of Fortify Funding and Holding Company Coverage Ratio models to assist in model enhancements, maintenance, and change control

• Provide support in both written response and gathered documentation for regulatory liquidity exams, audits, and other challenge or review forums

Basic Qualifications:

• Bachelor's Degree or military experience

• At least 3 years of experience in financial modeling and financial analysis

• At least 2 years of experience in securitization, finance, capital markets, or a combination

Preferred Qualifications:

• Master’s Degree in Finance, Accounting, Financial Engineering, Economics, or other quantitative field of study

• 4+ years of experience in financial analysis & modeling

• 4+ years of experience in statistical model building

• 4+ years of experience in data analysis or business analysis

• 3+ years of experience in business or financial consulting

• 4+ years of experience in Tableau, Python, Amazon Web Services (AWS), or a combination

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

The minimum and maximum full-time ann