Capital One Sr. Quantitative Modeler in McLean, Virginia

McLean 1 (19050), United States of America, McLean, Virginia

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.

Sr. Quantitative Modeler

The Capital Markets Advanced Analytics team offers a unique opportunity to be part of a dynamic analytics and modeling team focused on developing behavior models for balance sheet portfolios. Theses portfolios include retail and commercial deposits, mortgage loans and other fixed income products. We are currently looking for candidates with strong modeling and analytical skills. This position will work with other quantitative analysts in developing and enhancing the loan or deposit modeling framework to support multiple business purposes in Capital One.

Responsibilities and Skills:

  • Support econometric models for the balance sheet management and stress test

  • Identify opportunities to apply quantitative methods to improve business performance

  • Strong understanding of fixed income risk measurement;

  • Demonstrate track record in behavior model development and experience with the model estimation tools such as Python, or R

  • Ability to clearly communicate models and methods to management, model risk office, regulator and other modelers

  • Develop and maintain high quality and transparent model documentation

Basic Qualifications:

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

  • At least 1 year of experience in statistical or econometric modeling

Preferred Qualifications:

  • Strong behavior modeling experience for complex fixed income products, such as deposits balance attrition, mortgages prepayment or default, etc.

  • Experience in machine learning

  • Strong communication skills

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