14 days old

Senior Quantitative Analyst

Capital One
McLean, VA 22101
McLean 1 (19050), United States of America, McLean, Virginia

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.

Senior Quantitative Analyst

The Risk Capital team is a combination of balance sheet management and risk management function. The team is responsible for assessing and issuing equity funding needs and cost for all lines of businesses on Capital One balance sheet, including credit card, auto finance, retail bank, commercial banking and traded assets. We ensure that the risk-based equity rate and cost assignments aligns individual business origination decision making with top-of-house equity requirements and strategy.

We value candidates with excellent problem-solving skills; proactively taking ownerships and willing to learn and work with problems/initiatives in a wide range of areas including credit risk, capital, finance, cash flow valuation, etc. Successful candidates will partner cross-functionally with finance and business teams throughout the company to deliver breakthrough analytical solutions to support a winning strategy in a continually changing business environment.

Responsibilities:
- Support the modeling, enhancement and implementation of equity rate and cost assignment framework

- Support Economic Capital calculations, Stress Testing and Regulatory Capital related analysis

- Understanding technical issues in statistical and finance modeling and applying these skills toward solving business problems

- Work on various quantitative, modeling, and programming assignments using Python and Machine Learning techniques

- Analyze portfolio composition and riskiness change cycle-over-cycle for monitoring and informing balance sheet and business strategies

- Support ad-hoc business acquisition initiatives

- Interact with Data Stewardship, model team, review and validation groups

- Communicate equity assignments and key capital insights with senior management, finance and various business teams

- Develop comprehensive model documentation that stands up to Capital One and regulatory standards

Basic Qualifications:
- Master's degree in Financial Engineering, Statistics, Operations Research, Economics, Mathematics, Business, Computer Science, Finance or Physics
- At least 1 year of experience with R or Python

Preferred Qualifications:
- 1+ years experience in quantitative/statistical modeling of credit risk in banking or consulting industry
- 1+ years experience in cash flow valuation or pricing models
- Deep understanding and knowledge of consumer banking businesses

- Deep understanding and knowledge of CCAR stress testing, Basel capital framework and/or economic capital frameworks

- Fluent with Excel

- Experience in 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.

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Posted: 2019-10-02 Expires: 2019-11-15

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Senior Quantitative Analyst

Capital One
McLean, VA 22101

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