Senior Associate, Quantitative Analyst - MLRO

Capital One • McLean, VA

1d

About The Position

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. This position works on developing market and counterparty credit risk models for the Capital Markets line of business. These models are critical to enabling continued prudent growth of the Commercial Bank and other trading activity. The outputs of these models will be used in hedging trading risks, stress testing, risk-weighted assets, and limits monitoring. Expertise in quantitative analysis is central to our success in all markets. Our modelers thrive in a culture of mutual respect, excellence and innovation.

Requirements

• Strong understanding of quantitative analysis methods in relation to derivatives.
• Strong coding skills in modern scripting languages such as .NET or Python.
• Ability to clearly communicate modeling results to a wide range of audiences.
• Strong written and verbal communication skills and ability to document analyses for reproducibility.
• Demonstrated track-record in econometric analysis.
• 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, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 3 years of experience performing data analytics
• A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 1 year of experience performing data analytics

Nice To Haves

• Master’s Degree in a highly quantitative field (Statistics, Economics, Mathematics, Financial Engineering, Operations Research or Technology related discipline)
• Experience with developing and implementing models using languages (.NET or Python) and working with data using query languages such as SQL
• Experience in statistical techniques such as classification, clustering, and regression
• Experience working with large-scale, cloud-based coding environments and databases

Responsibilities

• Partner with the various lines of business to enhance modeling and analytical framework. Particularly focused on Value-at-Risk (VaR), Greeks (sensitivities), Potential Future Exposure (PFE), and Credit Value Adjustment (CVA)
• Work across Capital One entities to create novel analytical solutions to the challenging business problems
• Identify opportunities to apply quantitative methods and automation solutions to improve business performance and process efficiencies
• Collaborate in a cross-disciplinary team to build cloud-based solutions grounded in data
• Identify opportunities to apply quantitative methods to improve business performance
• Providing technical guidance to business leadership
• Communicate technical subject matter clearly and concisely to individuals from various backgrounds
• Ability to fully own the model development process: from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring.

Benefits

• Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being. Learn more at the Capital One Careers website.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level