Manager, Quantitative Analysis- Model Risk

Employer
Capital One
Location
McLean, Virginia
Posted
Jan 15, 2021
Closes
Feb 11, 2021
Ref
R102480
Function
Finance
Hours
Full Time
McLean 1 (19050), United States of America, McLean, Virginia

Manager, Quantitative Analysis- Model Risk

In Capital One's Model Risk Office, we defend the company against model failures and find new ways of making better decisions with models. We use our statistics, software engineering, and business expertise to drive the best outcomes in both Risk Management and the Enterprise. We understand that we can't prepare for tomorrow by focusing on today, so we invest in the future: investing in new skills, building better tools, and maintaining a network of trusted partners. We learn from past mistakes, and develop increasingly powerful techniques to avoid their repetition.

Responsibilities:
  • Remain on the leading edge of analytical technology with a passion for the newest and most innovative tools.
  • Develop 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, statistical, and machine learning modeling and apply these skills toward developing models and assessing model risks and opportunities.
  • Communicate technical subject matter clearly and concisely to individuals from various backgrounds both verbally and through written communication; prepare presentations of complex technical concepts and research results to non-specialist audiences and senior management.
  • Maintain the efficiency and accuracy of our models through continuous improvement and application of best practices.
  • Develop and maintain high quality and transparent documentation.
  • Leverage latest open source technologies and tools to identify areas of opportunity in our existing framework.

Successful Candidate would possess:
  • Experience building, validating, and backtestesting models. You have experience with clustering, classification, segmentation analysis, time series, and deep learning. You know how to interpret a confusion matrix or a ROC curve.
  • Experience with Python or R
  • Ability to clearly communicate modeling results to management, other modelers, third party reviewers (including regulators).
  • Drive to continuously improve all aspects of their work in a collaborative fashion.
  • Strong communication skills with the ability to quickly understand existing models and new requirements/business needs.
  • Strong grasp of statistical approaches and methodologies.
  • Desire to remain on the leading edge of analytical technology with a passion for the newest and most innovative tools.


Basic Qualifications:
  • Bachelor's Degree plus 6 years of experience in Quantitative Analytics or Data Science, or Master's Degree plus 2 years of experience in Quantitative Analytics or Data Science, or PhD plus 1 year of experience in a Quantitative analysis field
  • At least 4 years of experience in data analytics or statistical modeling (can include Graduate School Research work).
  • At least 2 years of experience with Python or R

Preferred Qualifications:
  • PhD in "STEM" field (Science, Technology, Engineering, or Mathematics)
  • 4 years of experience in statistical modeling or machine learning.
  • 4 years of experience with Python or R


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

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