Capital One Principal Quantitative Analyst - Model Monitoring in New York, New York

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

At Capital One, we’re building a leading information-based technology company. Still founder-led by Chairman and Chief Executive Officer Richard Fairbank, Capital One is on a mission to help our customers succeed by bringing ingenuity, simplicity, and humanity to banking. We measure our efforts by the success our customers enjoy and the advocacy they exhibit. We are succeeding because they are succeeding.

Guided by our shared values, we thrive in an environment where collaboration and openness are valued. We believe that innovation is powered by perspective and that teamwork and respect for each other lead to superior results. We elevate each other and obsess about doing the right thing. Our associates serve with humility and a deep respect for their responsibility in helping our customers achieve their goals and realize their dreams. Together, we are on a quest to change banking for good.

Principal Quantitative Analyst - Model Monitoring

Capital One, a Fortune 100 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.

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, and various specialty lending. The Model Monitoring team is part of the Portfolio Analytics group within Commercial Credit Risk and Analytics and is responsible for performance monitoring, model impacts, and change management for Capital One Commercial portfolios.

The Model Monitoring team is seeking a versatile multidisciplinary role in providing data and technical expertise to enhance monitoring process and model change infrastructure. The candidate will gain exposure in commercial products and credit risk analytics (e.g., Probability of Default, Loss Given Default, Basel and Economic Capital, ALLL, CECL, CCAR). Successful candidate will partner effectively with lead model developers, data engineers, and other risk management functions to deliver analytical solutions to support our credit risk strategy.

Responsibilities:

  • Utilize programming and analytical tools (Python, R) to build out an integrated and streamlined “one-click” style reporting application for model monitoring, supported by rich data visualization (e.g., Tableau, Shiny)

  • Provide data research and quantitative solutions to support critical business processes, e.g.,

  • Create modular tool kit to estimate primary impacts and downstream secondary usage from model changes and what-if scenarios

  • Develop the next generation of our data and modeling infrastructure, including data unification and simplification, business segmentation research, implementation strategies, dynamic backtesting and recalibration

  • Deep dive investigation to assess root cause, risk, and trend as observed and captured in monitoring, reporting, and other analysis

  • Support the enterprise-wide cloud migration project through successful process migration and testing

  • Strengthen current model usage and related reporting process by supporting accurate data input, improving data query logic, and streamlining the reporting interface

  • Analytical support throughout model “lifecycle” including conceptualization, model selection and validation, benchmarking, and business user training

  • Work closely with the model development group and technology team to understand and meet business needs driven by new model releases as well as changes in deployment environment

Basic Qualifications

  • Master’s degree

  • At least 2 years of experience in financial services or consulting

  • At least 2 years of experience in process optimization and/or model implementation

  • At least 2 years of experience with R or Python

  • At least 2 years of experience working with relational databases and SQL

Preferred Qualifications

  • Master's degree or PhD in Statistics, Econometrics, Mathematics, Financial Engineering, Operations Research, Business, Finance or Physics

  • 4+ years working with SQL

  • 2+ years working with Tableau, Qlik, or Shiny

  • 2+ years’ experience in econometric/statistical modeling

  • Professional qualifications (CFA, FRM, etc) a plus

  • Deep understanding and knowledge of commercial banking business, and Basel framework

  • Strong verbal and written communication and presentation skills

  • Strong influencing skills and ability to partner/collaborate across functions

  • Results driven approach to work

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

TBLI