Senior Quantitative Analyst - Quantitative Model Development and Implementation

NYC 299 Park Avenue (22957), United States of America, New York, New York

Senior Quantitative Analyst - Quantitative Model Development and Implementation

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 contains an approximately $100B (exposure) loan portfolio that has grown by virtue of several acquisitions. It is a Commercial Portfolio of C&I, CRE, Construction, and various specialty lending. The model development and implementation team is part of the loss forecasting group within the Commercial Risk Management team and is responsible for model development, implementation, on-going operational model updates and optimization, and model execution for Capital One Commercial portfolios.

 

Responsibilities and Skills:

• Develop statistical and simulation models to predict credit losses

• Work closely with the model development group to understand and meet business needs through the appropriate design and implementation of the models

• Collaborate with Model Development and Reporting & Analysis to perform various impact estimation for new model implementations

• Use open source programming languages (R, Python, JavaScript) to build informative, “one-click” style web application for model execution

• Design rich data visualizations (Shiny, D3.js) to communicate complex ideas to business leaders

• Create analytical tools to clean and investigate large external data to discover interesting trends

• Identify opportunities to apply quantitative methods, machine learning or automation solutions to improve business performance and process efficiencies

• Possess working knowledge of Linux and familiarity with Linux commands and file systems 

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

Basic Qualifications:

• Currently has, or is in the process of obtaining a Bachelor’s Degree plus at least 5 years of experience in data analytics, or currently has, or is in the process of obtaining a Master’s Degree plus at least 1 year of experience in data analytics, financial modeling or econometric modeling (can include Graduate School Research work) with an expectation that required degree will be obtained on or before the scheduled start date

• At least 1 year of experience in open source programming languages (Python or R)

 

Preferred Qualifications:

• Master’s Degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related discipline

• 2+ years of experience in open source programming languages (Python or R)

• 1+ years of experience with SQL

• 1+ years of experience in econometric or statistical modeling of credit risk 

• 1+ years of experience with Monte Carlo simulation

• 1+ years of experience with AWS, GCP, Azure, or another public cloud service

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 within one of these locations, and refers to the amount Capital One is willing to pay at the time of this posting. Salaries for part-time roles will be prorated based upon the agreed upon number of hours to be regularly worked.

New York City (Hybrid On-Site): $133,200 - $152,000 for Sr Assoc,Quantitative Analysis

Candidates hired to work in other locations will be subject to the pay range associated with that location, and the actual annualized salary amount offered to any candidate at the time of hire will be reflected solely in the candidate’s offer letter.

This role is also eligible to earn performance based i