18 days old

Manager, Quantitative Analysis

Capital One
New York, NY 10007
NYC 299 Park Avenue (22957), United States of America, New York, New York

At Capital One, were 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.

Manager, Quantitative Analysis

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, Financial Institutions lending, and various other specialty lending. As one of its top initiatives, the bank is updating its suite of statistical loss forecasting models for a series of critical processes, such as CECL, Capital allocation, and Credit decisioning.

Responsibilities and Skills:

  • Ownership of methodology development and parametrization of substantial components of Probability of Default, Loss Given Default, and Exposure at Default models in the wholesale portfolio risk suite, under the guidance of a senior manager
  • Understand technical issues in statistical modeling, including theoretical assumptions and methodology limitations, data pitfalls, model sensitivities, simulation approaches or scenario analyses for low-default portfolios, and applying these skills toward providing robust solutions to business problems 
  • Communicate technical subject matter clearly and concisely in long-form writing of the model documentation and in short-form interactions in meetings with experts from various backgrounds, such as partner teams, senior management, model risk officers
  • Interface effectively with partner teams and business customers: understand the business needs, identify available data and its quality and governance, prepare analyses and draft materials for discussion of model component options and results, defend the theoretical robustness and practicality of the selected approach and outcome to oversight groups, support the implementation team, and conduct impact estimation
  • Identify opportunities to automate parts of model development and contribute to infrastructure, tool, or process improvement to enable efficiencies on the team
  • Balance several priorities at a time, for example contribute to re-calibration of one model while staying on top of business-as-usual processes such as annual reviews of model appropriateness, issue remediation, ad-hoc user questions, third party model audits, on another model, keeping their respective timelines in mind
  • Work on various ad hoc quantitative, modeling, and programming assignments using R or Python

Basic Qualifications:

  • Masters Degree in Statistics, Econometrics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Business, Technology or Physics
  • 4 years experience in statistical or econometric modeling

Preferred Qualifications:

  • 2-4 years of credit risk modeling experience for commercial bank, or portfolio risk modeling at an investment firm
  • Experience in underwriting, deal structuring, credit analysis, or investment portfolio management would be a plus
  • Professional qualifications (CFA, FRM, etc) would be a plus

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

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Posted: 2019-08-07 Expires: 2019-09-22

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Manager, Quantitative Analysis

Capital One
New York, NY 10007

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