Senior Quantitative Analyst - Model Developer

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.

Senior Quantitative Analyst - Model Developer

Capital One's Commercial Bank contains an approximately $100B (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 building and revising its full suite of loss forecasting model for a series of critical processes, such as CCAR and CECL.

On any given day you'll:

  • Develop CCAR/CECL compliant loss forecasting models for the Commercial Bank
  • Actively participate in all stages of model development from data collection, model building, model validation, testing and calibration
  • Design rigorous, scientific approaches to solve problems and address challenges
  • Understanding technical issues in econometric and statistical modeling and applying these skills toward solving business problems
  • Creatively utilize knowledge of math and logic to solve problems, and engage in self-driven learning of new methodologies
  • Collaborate with colleagues to explore new ideas, evaluate optimal strategies, and uphold and assess shared standards for methodology and performance
  • Communicating technical subject matter clearly and concisely to individuals from various backgrounds
  • Develop comprehensive model documentation that stands up to Capital One and regulatory standards
  • Work on various ad hoc quantitative, modeling, and programming assignments using open source programming languages (e.g. R or Python)

Basic Qualifications:
  • Master's Degree
  • At least 1 year of experience in econometric or statistical modeling
  • At least 1 year of experience in R or Python

Preferred Qualifications:
  • 2+ years' experience in Python, R or other programming languages
  • 2+ years' experience with SQL
  • Strong verbal and written communication and presentation skills
  • Experience in underwriting, deal structuring, credit analysis or credit portfolio management
  • Professional qualifications (CFA, FRM, etc) a plus

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

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