Principal Quantitative Analyst

NYC 299 Park Avenue (22957), United States of America, New York, New York

At Capital One, we're building a leading information-based technology company. Still founder-led by Chairman and Chief Executive Officer Richard Fairbank, Capital One is on a mission to help our customers succeed by bringing ingenuity, simplicity, and humanity to banking. We measure our efforts by the success our customers enjoy and the advocacy they exhibit. We are succeeding because they are succeeding.

Guided by our shared values, we thrive in an environment where collaboration and openness are valued. We believe that innovation is powered by perspective and that teamwork and respect for each other lead to superior results. We elevate each other and obsess about doing the right thing. Our associates serve with humility and a deep respect for their responsibility in helping our customers achieve their goals and realize their dreams. Together, we are on a quest to change banking for good.

Principal Quantitative Analyst

Capital One, a Fortune 500 company and one of the nation's top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. We offer a broad spectrum of financial products and services to consumers, small businesses and commercial clients. We nurture a work environment where people with a variety of thoughts, ideas and backgrounds, guided by our shared Values, come together to make Capital One a great company and a great place to work.

Capital One's Commercial Bank contains an approximately $60B (exposure) loan portfolio that has grown by virtue of several acquisitions. It is a Commercial Portfolio of C&I, CRE, Construction, and various specialty lending. As one of its top initiatives, the bank is currently building its full suite of Basel-compliant, statistically-based Dual Risk Rating models that produce Probability of Default and Loss Given Default.

Responsibilities:

  • Develop Basel compliant Probability of Default, Loss Given Default and Exposure at Default models for the Commercial Bank.
  • Work under the guidance of the reporting manager during the model development process
  • Actively participate in all stages of model development from data collection, model building, model validation, testing and calibration
  • Support the implementation of models in the Risk Rating platform and connectivity with other loan systems and data marts.
  • Develop comprehensive model documentation that stands up to Capital One and regulatory standards
  • Understanding technical issues in econometric and statistical modeling and applying these skills toward solving business problems
  • Communicating technical subject matter clearly and concisely to individuals from various backgrounds
  • Develop, maintain and enhance econometric models for various R&D projects, such as macro-economic linkage model and stress testing methodology.
  • Work on various ad hoc quantitative, modeling, and programming assignments using R, Python, SAS, Matlab, SQL, Access and VBA.

Basic Qualifications

  • Bachelor's degree in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
  • At least 2 years' of experience in econometric or statistical modeling of credit risk
  • At least 2 years' of experience with SAS, Matlab, R or Python

Preferred Qualifications

  • Master's degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
  • 4+ years' experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
  • Deep understanding and knowledge of commercial banking business and Basel framework
  • Experience in underwriting, deal structuring, credit analysis or credit portfolio management
  • Professional qualifications (CFA, FRM, etc) a plus
  • Strong verbal and written communication and presentation skills
  • Strong influencing skills and ability to partner/collaborate across functions
  • Results driven approach to work

Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.

TBLI

No agencies please. Capital One is an Equal Opportunity Employer committed to diversity and inclusion in the workplace. All qualified applicants will receive consideration for employment without regard to sex, race, color, age, national origin, religion, physical and mental disability, genetic information, marital status, sexual orientation, gender identity/assignment, citizenship, pregnancy or maternity, protected veteran status, or any other status prohibited by applicable national, federal, state or local law. Capital One promotes a drug-free workplace. Capital One will consider for employment qualified applicants with a criminal history in a manner consistent with the requirements of applicable laws regarding criminal background inquiries, including, to the extent applicable, Article 23-A of the New York Correction Law; San Francisco, California Police Code Article 49, Sections 4901-4920; New York City's Fair Chance Act; Philadelphia's Fair Criminal Records Screening Act; and other applicable federal, state, and local laws and regulations regarding criminal background inquiries.

If you have visited our website in search of information on employment opportunities or to apply for a position, and you require an accommodation, please contact Capital One Recruiting at 1-800-304-9102 or via email at


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