McLean 1 (19050), United States of America, McLean, Virginia
Principal Quantitative Analyst
Capital One, a Fortune 500 company and one of the nation’s top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. We offer a broad spectrum of financial products and services to consumers, small businesses and commercial clients. We nurture a work environment where people with a variety of thoughts, ideas and backgrounds, guided by our shared values, come together to make Capital One a great company and a great place to work.
Expertise in quantitative analysis is central to our success in all these markets. Our 100+ modelers thrive in a culture of mutual respect, excellence and innovation. We have several opportunities available for top-notch quantitative professionals.
This position is part of Capital One’s Risk Management division. Successful candidates will partner cross-functionally with business throughout the company to deliver breakthrough analytical solutions to support a winning strategy in a continually changing business environment.
- Work with Operational Risk Management and Lines of Business to understand the areas of losses by analyzing data and identifying risk drivers
- Run exploratory data analysis to develop a strong understanding of input data and identify possible data quality issues
- Develop predictive stress test models for CCAR/DFAST
- Develop and run models for Economic Capital estimation based on Loss Distribution Approach
- Develop code to implement models in a robust production environment
- Produce written documentation on methodologies and modeling results for use in model validation and regulatory review
- Prepare presentations and join discussions with key stakeholders, including regulators, model validation, and business partners to facilitate understanding of our economic capital modeling and to effectively take-away feedback
- Master’s degree in Statistics, Economics, Financial Engineering, Operational Research, Physics or Mathematics
- At least 1 year of experience with mathematical modeling and statistics
- At least 1 year of experience with SAS, Matlab, R or Python
- PhD in an analytical discipline, such as applied math, economics, engineering, physics, or another quantitative discipline
- 2-3 years of experience in applied model development and implementation
- Experience with time series modeling
- Advanced proficiency in Matlab, Python, R and/or SAS
- Experience and knowledge of VBA
- Experience with documentation for model validation or regulatory review
- Experience with operational risk, credit risk, and / or economic capital modeling
- Strong writing skills
- Strong presentation and communication skills
- Ability to effectively communicate highly technical concepts to diverse audiences
- Team player receptive to collaborative sharing of ideas
- Demonstrated ability to pursue independent research projects and deliver innovative and high quality results
Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.