Sr. Quantitative Modeler
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.
Sr. Quantitative Modeler
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. Among the top priorities for Commercial Risk & Analytics team are the continued maintenance and development of statistically-based and structural models that produce Probability of Default, Loss Given Default, Exposure at Default. Our model suite services users across underwriting, credit officers, pricing, capital and Current Expected Credit Losses reserves processes.
- 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
- Actively participate in model maintenance including monitoring performance, assessing changing business conditions, updating the documentation or methodology to remediate issues
- Work on various ad hoc quantitative, modeling, and programming assignments using R, Python, SQL
- Support development of robust and defensible Probability of Default, Loss Given Default and Exposure at Default models for the Commercial Bank
- Contribute to comprehensive and well-written model whitepapers that stands up to Capital One and regulatory standards
- Be a model ambassador by answering questions from users, challenge functions, and regulators
- Support the implementation of models in the Risk Rating platform and connectivity with other loan systems and data marts
- Contribute to modeling and data infrastructure to enable error-free and efficient model update process
- Understand technical issues in econometric and statistical modeling and apply these skills toward solving business problems
- Grasp business concepts and translate them into model features
- Communicate technical subject matter clearly and concisely to individuals from various backgrounds
- Master's degree in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business, Finance or Physics
- At least 1 year of experience with R or Python
- 1-2 years' experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
- At least 1 year of experience in econometric or statistical modeling of credit risk, portfolio risk, operational risk
- Exposure to software design and familiarity with best practices in writing code
- Prior experience with commercial credit
- Experience in underwriting, deal structuring, credit analysis, or portfolio management
- Strong verbal and written communication and presentation skills
- Strong influencing skills and ability to partner/collaborate across functions
- Results driven approach to work
- 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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