Manager, Quantitative Analyst - Commercial Credit Modeling Team

Manager, Quantitative Analyst - 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 Team has a $100B+ loan portfolio that has grown organically and via acquisitions, covering C&I, CRE, and Structured Products.  On this 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 growing team full of exciting opportunities to solve a range of complex problems.

Responsibilities:

• Led a pod of quantitative analysts to develop simulation-based structural models to project credit risk losses for the Structured Finance LOB, covering a wide range of applications, e.g. internal risk rating, loss forecasting, stress testing, and loan pricing

• Partner with the Business Analyst, Underwriter, Credit Officer and other key stakeholders to understand the deal structure, cash flow dynamics, key risk drivers and translate them into actionable items to generate business insights, enhance and consolidate existing model structures, and drive for meaningful changes

• 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 validation and model governance

• Communicate technical subject matter clearly and concisely to various model stakeholders through verbal and written communication; Prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management with strong storytelling skills

• Draft and maintain high quality and transparent model documentation

• Remain on the leading edge of analytical technology with a passion for the newest and most innovative tools; Leverage the latest open source technologies and enterprise-level tools to proactively identify areas of opportunities in our existing framework and processes

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 will possess:

• Strong ability to grasp and internalize the economics and risk drivers behind complex Structured lending products within the Commercial Bank for modeling purposes

• Excellent coding skills in Python (must-have) and/or R (good to have) with self-drive to lead the team to create and review codes with industry best practices

• Excellent communication and storytelling skills to synthesize data and modeling insights and present to key model stakeholder and senior management

• Hands-on experience with data analysis to gain insights from large datasets and create interactive dashboards 

• Experience with a variety of modeling techniques, e.g. structural model, simulation-based model, statistical and/or machine learning model

• Drive to continuously improve all aspects of their work in a collaborative fashion

Basic Qualifications:

• 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,