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Senior Manager, Quantitative Analysis – Commercial Model Validation

Capital One

McLean, VA
Job Code:
  • Financial Services
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Job Details

Company Capital One

Job Title: Senior Manager, Quantitative Analysis – Commercial Model Validation

JobID: capitalone2-R22104

Location: McLean, VA, 22106, USA

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

Senior Manager, Quantitative Analysis – Commercial Model Validation

Capital One, a Fortune 200 company and one of the nation’s top 10 banks, is one of the largest, most analytically sophisticated Financial Services providers in the world. When we launched as a startup we disrupted the credit card industry by individually personalizing every credit card offer using statistical modeling and the relational database. Twenty-five years later, Capital One is still led by its founder, offering 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. Be ready to join a community of the smartest people you’ve ever met, who see the customer first, and want to use their quantitative skills to make a difference.

As a Senior Manager of Quantitative Analysis within Credit Review, you will lead the validation of statistically-based Basel compliant scorecards and models for measuring obligor risk. Capital One's Commercial Bank contains an approximately $60B (exposure) loan portfolio of C&I, CRE, Construction, and other specialty lending, that has grown by virtue of several acquisitions. Validations cover all aspects of model development and performance and include forward-looking advancements in model sophistication and quality. You will enhance your technical and analytical skills, while also working with business leaders to understand and influence business strategies. With a network of over 200 quantitative analysts, data scientists and statisticians, we’ve created a dynamic environment with ample opportunities for learning and growth.


• Develop and implement validation strategies for Basel compliant Probability of Default, Loss Given Default, and Exposure at Default models for the Commercial bank

• Assess the quality and risk of model methodologies, outputs, and processes

• Develop alternative model approaches to assess model design and advance future capabilities

• Understand relevant business processes and portfolios associated with model use

• Understand technical issues in econometric and statistical modeling and apply these skills toward assessing model risks and opportunities

• Plan and manage validation projects, coordinating within a larger project team as necessary

• Provide leadership, management and development within the validation team

• Communicate technical subject matter clearly and concisely, both verbally and through written communication via model validation reports and presentations, to individuals from various backgrounds

**Basic Qualifications:**

• Master’s Degree in Statistics, Econometrics, Mathematics, Industrial Engineering, Financial Engineering, Operations Research, Physics, or Technology

• At least 3 years’ experience in commercial credit risk modeling and analysis

• At least 5 years’ experience in quantitative analysis with Statistics, Econometrics, or Data Mining

**Preferred Qualifications:**

• Doctorate in quantitative field including Statistics, Mathematics, or Economics

• 5+ years’ experience in commercial credit risk modeling and analysis

• 1+ years’ experience in credit lending, credit review, risk management, accounting, or audit

• 1+ years’ experience with Agile methodology, machine learning, or AWS

• 1+ years’ experience managing people

• Experience in underwriting, deal structuring, credit analysis or credit portfolio management

• Proficiency with statistical and data software languages and packages (SQL, SAS, R, Python, Excel, etc.)

• Solid understanding and knowledge of commercial banking business, with the ability to interpret model results for business use, performance monitoring, and risk assessment

• Ability to communicate effectively and influence others across functions

• Results driven, with the ability to work both independently and in project teams

• Professional qualifications (CFA, FRM, etc.) or advanced programming certifications a plus

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

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.                                               

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