Senior Associate, Quantitative Analyst - MLRO

Senior Associate, Quantitative Analyst - MLRO

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.

This position works on developing market and counter party credit risk models for the Capital Markets line of business. These models are critical to enabling continued prudent growth of the Commercial Bank and other trading activity. The outputs of these models will be used in hedging trading risks, stress testing, risk-weighted assets, and limits monitoring.

Responsibilities and Skills:

• Partner with the various lines of business to enhance modeling and analytical framework. Particularly focused on Value-at-Risk (VaR), Greeks (sensitivities), Potential Future Exposure (PFE), and Credit Value Adjustment (CVA)

• Work across Capital One entities to create novel analytical solutions to the challenging business problems

• Identify opportunities to apply quantitative methods and automation solutions to improve business performance and process efficiencies

• Collaborate in a cross-disciplinary team to build cloud-based solutions grounded in data

• Identify opportunities to apply quantitative methods to improve business performance

• Providing technical guidance to business leadership

• Communicate technical subject matter clearly and concisely to individuals from various backgrounds.

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

Successful candidates would possess:

• Strong understanding of quantitative analysis methods in relation to derivatives.

• Strong coding skills in modern scripting languages such as .NET or Python.

• Ability to clearly communicate modeling results to a wide range of audiences.

• Strong written and verbal communication skills and ability to document analyses for reproducibility.

• Ability to fully own the model development process: from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring.

• Demonstrated track-record in econometric analysis.

Basic Qualifications:

• Currently has, or is in the process of obtaining one of the following with an exception that the required degree will be obtained on or before the scheduled start date:

• 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 1 year of experience in quantitative analytics

• At least 1 year of experience in each of the following skills through education or experience:

• Statistical or econometric modeling

• Linear and logistic regression

• Programming in R, Python or SQL

• Presenting statistical concepts and research results to non-statistical audience

• At least 1 year of experience in at least 3 of the following skills:

• Survival analysis modeling

• Time-series analysis

• Panel data (longitudinal data or cross-sectional time-series data) analysis

• Cross-sectional data analysis

• Machine learning

• Analysis and management of large datasets (>1M records)

Preferred Qualifications:

• 2 years of experience with Python, R or other statistical analyst software

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

The minimum and maximum full-time annual salaries for this role are listed below, by location. Please note that this salary information is solely for candidates hired to perform work…