Overview

Responsibilities:

  • Develop Basel compliant Probability of Default, Loss Given Default and Exposure at Default models for the Commercial Bank.
  • Work under the guidance of the reporting manager during the model development process
  • Actively participate in all stages of model development from data collection, model building, model validation, testing and calibration
  •  Support the implementation of models in the Risk Rating platform and connectivity with other loan systems and data marts.
  • Develop comprehensive model documentation that stands up to Capital One and regulatory standards
  • Understanding technical issues in econometric and statistical modeling and applying these skills toward solving business problems
  • Communicating technical subject matter clearly and concisely to individuals from various backgrounds
  • Develop, maintain and enhance econometric models for various R&D projects, such as macro-economic linkage model and stress testing methodology.
  • Work on various ad hoc quantitative, modeling, and programming assignments using R, Python, SAS, Matlab, SQL, Access and VBA.

Basic Qualifications

  • Bachelor’s degree in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
  • At least 2 years’ of experience in econometric or statistical modeling of credit risk
  • At least 2 years’ of experience with SAS, Matlab, R or Python=

Preferred Qualifications

  • Master’s degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
  • 4+ years’ experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
  • Deep understanding and knowledge of commercial banking business and Basel framework
  • Experience in underwriting, deal structuring, credit analysis or credit portfolio management
  • Professional qualifications (CFA, FRM, etc) a plus
  • Strong verbal and written communication and presentation skills
  • Strong influencing skills and ability to partner/collaborate across functions
  • Results driven approach to work

To apply for this job please visit the following URL: https://www.capitalonecareers.com/job/-/-/1732/5287639 →


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