Senior Manager, Quantitative Analysis – Commercial Model Validation

McLean 1 (19050), United States of America, McLean, Virginia

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.

Senior Manager, Quantitative Analysis – Commercial Model Validation

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.

As a Senior Manager of Quantitative Analysis within Credit Review, you will lead the validation of statistically-based Basel compliant scorecards and models for measuring obligor risk. Capital One's Commercial Bank contains an approximately $60B (exposure) loan portfolio of C&I, CRE, Construction, and other specialty lending, that has grown by virtue of several acquisitions. Validations cover all aspects of model development and performance and include forward-looking advancements in model sophistication and quality. You will enhance your technical and analytical skills, while also working with business leaders to understand and influence business strategies. With a network of over 200 quantitative analysts, data scientists and statisticians, we've created a dynamic environment with ample opportunities for learning and growth.

Responsibilities:

  • Develop and implement validation strategies for Basel compliant Probability of Default, Loss Given Default, and Exposure at Default models for the Commercial bank
  • Assess the quality and risk of model methodologies, outputs, and processes
  • Develop alternative model approaches to assess model design and advance future capabilities
  • Understand relevant business processes and portfolios associated with model use
  • Understand technical issues in econometric and statistical modeling and apply these skills toward assessing model risks and opportunities
  • Plan and manage validation projects, coordinating within a larger project team as necessary
  • Provide leadership, management and development within the validation team
  • Communicate technical subject matter clearly and concisely, both verbally and through written communication via model validation reports and presentations, to individuals from various backgrounds

Basic Qualifications:

  • Master's Degree in Statistics, Econometrics, Mathematics, Industrial Engineering, Financial Engineering, Operations Research, Physics, or Technology
  • At least 3 years' experience in commercial credit risk modeling and analysis
  • At least 5 years' experience in quantitative analysis with Statistics, Econometrics, or Data Mining

Preferred Qualifications:

  • Doctorate in quantitative field including Statistics, Mathematics, or Economics
  • 5+ years' experience in commercial credit risk modeling and analysis
  • 1+ years' experience in credit lending, credit review, risk management, accounting, or audit
  • 1+ years' experience with Agile methodology, machine learning, or AWS
  • 1+ years' experience managing people
  • Experience in underwriting, deal structuring, credit analysis or credit portfolio management
  • Proficiency with statistical and data software languages and packages (SQL, SAS, R, Python, Excel, etc.)
  • Solid understanding and knowledge of commercial banking business, with the ability to interpret model results for business use, performance monitoring, and risk assessment
  • Ability to communicate effectively and influence others across functions
  • Results driven, with the ability to work both independently and in project teams
  • Professional qualifications (CFA, FRM, etc.) or advanced programming certifications a plus

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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