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Capital One
Date: Jun 18, 2013
Location: New York, NY, US
Director, Quantitative Analysis-718068
Description
Key Responsibilities:
- Lead efforts to build Basel-II compliant scorecards and models for measuring obligor risk
- Contribute to the development of a Basel-II compliant risk rating methodology for the Bank. Ensure risk rating methodology and policy decisions are incorporated into modeling framework
- Engage with Credit Approval and Underwriting organizations to drive agreement on proposed modeling approaches
- Take ownership of the model development process across all stages of model development from data collection, model build, model validation, testing and calibration
- Take ownership for developing comprehensive model documentation that stands up to Capital One and regulatory standards
- Support related quantitative functions, including stress testing, capital adequacy analysis, and other ad hoc portfolio analytics
Competency Requirements:
Job-Specific Skills:
- Credible technical and quantitative analysis skills
- Ability to climb fast learning curves in areas of limited prior experience
- Inventive and straight-forward problem-solving style
Results Focus:
- Self-motivated to find leadership opportunities and execute with autonomy
- Drive work results without heavy oversight from management chain
Communication & Relationship Management:
- Strong communication skills
- Effective interpersonal skills and influence competencies
- Present complex issues in a clear and concise manner
- Work simultaneously across multiple cross-functional efforts
Qualifications
Basic Qualifications:
- Master’s Degree in Economics, Statistics, Math or other quantitative disciplines
- 3 years’ combined experience in Econometrics / Statistical Modeling for Commercial Lending portfolios
- 3 years’ experience using statistical packages such as SAS, R, or MATLAB
- 4+ years’ progressive experience in the Credit Risk space
- 2+ years’ experience developing PD, LGD models and scorecards for Commercial/ Corporate (wholesale) banking
Preferred Qualifications:
- Doctorate in Economics, Statistics or Math or other quantitative disciplines
- 5-10 years’ experience in statistical hands-on work
- 5 + years’ experience using statistical packages such as SAS, R, or MATLAB
- Deep understanding and knowledge of Basel II principles and practice
- Experience developing documentation in preparation for Basel II or OCC/Fed exams
- Experience developing and implementing PD and LGD models in Commercial loan space
- Professional qualifications (CFA, FRM, etc) a plus
- Prior managerial experience preferred
- Strong verbal and written communication and presentation skills
- Strong influencing skills and ability to partner/collaborate across functions
- Experience with vended models in the C&I and/or CRE space preferred (Moody's KMV, RiskCalc, CreditEdge, CMM, COMPASS, etc)
No agencies please.
*Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
*Capital One is an equal opportunity employer committed to diversity in the workplace. We promote a drug-free work environment. We emphasize recruiting, hiring, and retaining the most qualified candidates and providing them with the opportunity to meet their potential. We provide an environment where differences lead to solutions.
Job: Quantitative Analytics
Primary Location: United States-New York-New York-Mid Manh-90 Park Ave Br 862 (22862)
Schedule: Full-time
Travel: No
Job Posting:
Unposting Date:
Description
Key Responsibilities:
- Lead efforts to build Basel-II compliant scorecards and models for measuring obligor risk
- Contribute to the development of a Basel-II compliant risk rating methodology for the Bank. Ensure risk rating methodology and policy decisions are incorporated into modeling framework
- Engage with Credit Approval and Underwriting organizations to drive agreement on proposed modeling approaches
- Take ownership of the model development process across all stages of model development from data collection, model build, model validation, testing and calibration
- Take ownership for developing comprehensive model documentation that stands up to Capital One and regulatory standards
- Support related quantitative functions, including stress testing, capital adequacy analysis, and other ad hoc portfolio analytics
Competency Requirements:
Job-Specific Skills:
- Credible technical and quantitative analysis skills
- Ability to climb fast learning curves in areas of limited prior experience
- Inventive and straight-forward problem-solving style
Results Focus:
- Self-motivated to find leadership opportunities and execute with autonomy
- Drive work results without heavy oversight from management chain
Communication & Relationship Management:
- Strong communication skills
- Effective interpersonal skills and influence competencies
- Present complex issues in a clear and concise manner
- Work simultaneously across multiple cross-functional efforts
Qualifications
Basic Qualifications:
- Master’s Degree in Economics, Statistics, Math or other quantitative disciplines
- 3 years’ combined experience in Econometrics / Statistical Modeling for Commercial Lending portfolios
- 3 years’ experience using statistical packages such as SAS, R, or MATLAB
- 4+ years’ progressive experience in the Credit Risk space
- 2+ years’ experience developing PD, LGD models and scorecards for Commercial/ Corporate (wholesale) banking
Preferred Qualifications:
- Doctorate in Economics, Statistics or Math or other quantitative disciplines
- 5-10 years’ experience in statistical hands-on work
- 5 + years’ experience using statistical packages such as SAS, R, or MATLAB
- Deep understanding and knowledge of Basel II principles and practice
- Experience developing documentation in preparation for Basel II or OCC/Fed exams
- Experience developing and implementing PD and LGD models in Commercial loan space
- Professional qualifications (CFA, FRM, etc) a plus
- Prior managerial experience preferred
- Strong verbal and written communication and presentation skills
- Strong influencing skills and ability to partner/collaborate across functions
- Experience with vended models in the C&I and/or CRE space preferred (Moody's KMV, RiskCalc, CreditEdge, CMM, COMPASS, etc)
No agencies please.
*Capital One will consider sponsoring a new qualified applicant for employment authorization for this position.
*Capital One is an equal opportunity employer committed to diversity in the workplace. We promote a drug-free work environment. We emphasize recruiting, hiring, and retaining the most qualified candidates and providing them with the opportunity to meet their potential. We provide an environment where differences lead to solutions.
Job: Quantitative Analytics
Primary Location: United States-New York-New York-Mid Manh-90 Park Ave Br 862 (22862)
Schedule: Full-time
Travel: No
Job Posting:
Unposting Date:
Job Segments: Manager, Banking, Bank, Developer, Quantitative Analyst, Management, Finance, Technology, Data
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