Principal Quantitative Modeler

Principal Quantitative Modeler

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 is part of Capital One's Credit Risk Management Modeling team. In this team, we use multiple cloud-based open-sourced technologies to develop econometric and machine learning models and analytics to predict and generate insight into Capital One's risk and capital needs. We blend cutting-edge quantitative methods with deep understanding of our business, data, and regulatory environment to build predictive models for credit and operational losses, volumes and outstanding balances in support of loss forecasting, CECL/allowance, stress testing, and capital allocation for Capital One. Our models and analyses inform earnings call prep, vertical resilience and downturn preparedness initiatives.

In this position, you'll be part of a team tasked with ushering in the next wave of disruption to predictive modeling - using technology to build & deploy models and solutions leveraging new data sources to provide powerful new insights about our portfolio resilience and opportunities.

Responsibilities and Skills:

• Partner with the various lines of business to enhance modeling and analytical framework
• 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 or machine learning to improve business performance
• Apply deep expertise in econometric, statistical and machine learning methods to generate critical insights and decision frameworks for our business and customers
• Provide technical guidance to business leadership
• Communicate technical subject matter clearly and concisely to individuals from various backgrounds

Expertise in quantitative analysis is central to our success in all markets. Our modelers thrive in a culture of mutual respect, excellence and innovation. Successful candidates would possess:

• Strong understanding of quantitative analysis methods in relation to financial institutions
• Demonstrated track-record in machine learning and/or econometric analysis
• Experience utilizing model estimation tools
• Ability to clearly communicate modeling results to a wide range of audiences
• Drive to develop and maintain high quality and transparent model documentation
• Strong written and verbal communication skills
• Strong presentation skills
• Ability to fully own the model development process from conceptualization through data exploration, model selection, validation, deployment, business user training, and monitoring
• Proficiency in key econometric and statistical techniques (such as predictive modeling, logistic regression, survival analysis, panel data models, design of experiments, decision trees, machine learning methods.)

Basic Qualifications:

• 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 5 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 3 years of experience performing data analytics
• A PhD in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field)

Preferred Qualifications:

• PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Engineering, Finance, Physics or related disciplines
• 2 years of experience with data analysis
• 1 year of experience with Python, R or other statistical analyst software
• 1 year of experience manipulating and analyzing large data sets

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