Manager, Quantitative Analysis - Commercial Credit Modeling Team

Overview

Manager, Quantitative Analysis - Commercial Credit Modeling Team

At Capital One data is at the center of everything we do. As a startup, we disrupted the credit card industry by individually personalizing every credit card offer using statistical modeling and the relational database, cutting edge technology in 1988! Fast-forward a few years, and this little innovation and our passion for data has skyrocketed us to a Fortune 200 company and a leader in the world of data-driven decision-making.

As a Quantitative Analyst at Capital One, you’ll be part of a team that’s leading the next wave of disruption at a whole new scale, using the latest in cloud computing and machine learning technologies and operating across billions of customer records to unlock the big opportunities that help everyday people save money, time and agony in their financial lives.

Capital One’s Commercial Bank has a $100B+ loan portfolio that has grown organically and via acquisitions, covering C&I, CRE, and Structured Products. On the Commercial Credit Modeling Team, you’ll get an opportunity to solve a diverse set of problems with a diverse set of tools. In some settings, you’ll leverage open source programming or cloud computing to predict credit risk loss across multi-million record datasets using statistical techniques.

In other settings, you’ll get the opportunity to use completely different skill sets, blending business thinking with simulation and quantitative tools when forecasting rare or unprecedented events. It’s a team full of exciting opportunities to solve a range of complex problems, generating insights for credit decision makers.

• Develop credit risk models for various business applications, including internal risk rating, loss forecasting, stress testing, profitability for Commercial and Industrial lending
• Lead high impact, complex, model development projects end to end from ideation, to data processing, to methodology and model selection, to socialization and implementation
• Partner with the business analyst team to enhance modeling and analytical frameworks to generate business insights, identify and mitigate model weaknesses, and drive changes
• Proactively identify opportunities to apply quantitative methods and automation solutions to improve model performance and process efficiencies
• Collaborate with implementation and data infrastructure team to build cloud-based solutions for model deployment, monitoring, and maintenance
• Work effectively with challenge functions to ensure prompt and comprehensive support for model governance

Expertise in quantitative analysis is central to our success in all markets. Our modelers thrive in a culture of mutual respect, excellence and innovation.

• Currently has, or is in the process of obtaining one of the following with an expectation that the required degree will be obtained on or before the scheduled start date:
• A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 6 years of experience performing data analytics
• A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 4 years of experience performing data analytics
• A PhD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 1 year of experience performing data analytics

• PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines.
• 5+ years of experience in statistical modeling, regression analytics or machine learning.
• 4+ years of credit risk modeling experience for commercial banks (default probability, loss given default, or exposure at default.)
• 2+ years of experience managing a team of analysts.

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

The…