Principal Quantitative Modeler


: $71,830.00 - $127,920.00 /year *

Employment Type

: Full-Time


: Manufacturing

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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 Modeler

The position is for Principal Quantitative Modeler on the Pricing and Valuations team within the Commercial Bank. Capital One's Commercial Bank contains an approximately $100B (exposure) loan portfolio that has grown by virtue of several acquisitions. The Pricing & Valuations team is responsible for the valuation of profit and risks of each commercial deal/relationship. The model is an integral part of the Commercial Lending process. We have partnered with the Commercial Digital team to digitize the model and move it from its current excel VBA-based interface to a cloud web-based interface. Our vision is to provide a great digital experience to the users using technologies like machine learning and artificial intelligence.

Responsibilities and Skills:

* Take ownership of the business intent, model development, implementation along with validation, testing & training.
* Leverage quantitative and machine learning techniques to establish the model as an authoritative source of commercial profitability and optimum tool for return maximization
* Identify opportunities to improve the model and automating parts of model development in python-based infrastructure
* Communicate technical subject matter clearly and concisely in long-form writing of the model documentation and in short-form interactions in meetings with experts from various backgrounds, such as partner teams, senior management, model risk officers
* Interface effectively with partner teams and business customers: understand the business needs, identify available data and its quality and governance, prepare analyses and draft materials for discussion of model component options and results, defend the theoretical robustness and practicality of the selected approach and outcome to oversight groups, support the implementation team, and conduct impact estimation
* Strategic & analytic orientation to problem solving based on analytics. Identify business challenges and opportunities for improvement and solve them using analysis to make strategic or tactical recommendations. Conceptual thinking skills must be complemented by a strong quantitative orientation
* Partner and work closely with colleagues across Capital One including Finance, Business lines, Technology, Model Risk office to drive model enhancements & implementation
* Strong business judgment and understanding of Commercial Bank

Basic Qualifications:

* Bachelor's Degree in Statistics, Econometrics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Business, Technology or Physics
* At least 4 years of experience in analysis
* At least 1 year of experience in open source programming languages for large scale data analysis (Python, R, or Scala)
* At least 1 year of experience with version control system (Git or Github)

Preferred Qualifications:

* Master's Degree in Financial Engineering, Statistics, Econometrics, Mathematics, Operations Research, or Physics
* 3-4+ years of experience in financial modelling
* 2-4 years of credit risk modeling experience for commercial bank, or portfolio risk modeling at an investment or consulting firm
* Experience in underwriting, deal structuring, credit analysis, or investment portfolio management would be a plus
* Experience writing unit tests and integrating with CICD tools

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

* The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.

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