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Capital One

Job: Manager Statistical Analysis, Loss Forecasting & Basel II Model Validation Job

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Jobing Description

Manager Statistical Analysis, Loss Forecasting & Basel II Model Validation-714451

Description
Level: Manager

Responsibilities

A Manager Model Validation will lead a group or be an individual contributor in the validation of loss forecasting and Basel-related models used to measure risk of a wide arrange of financial assets, as well as calculating regulatory and economic capital.

The work will encompass:

- Contributing to a team in charge of validating Basel-related and/or loss forecasting models for a large number of retail and portfolios at Capital One

- Researching and utilizing advanced statistical, financial and economic concepts

- In many instances, it will also require analyzing large data sets to be used within the referred model

- Producing analysis that could be used by management in making business decisions such as pricing, risk mitigation and capital allocations

- Self identifying the tasks required with the work described above and deliver meaningful analysis to management

Qualifications
Basic Qualifications

- Master's degree in a quantitative field: Economics, Finance, Statistics, Mathematics, Physics or a related discipline

- Understanding of applied statistical techniques: linear and non-linear regression, time series forecasting, panel data analysis, optimization, data mining or survival analysis

- Experience with economic forecasting, PD/LGD estimation techniques or economic capital calculations

- 3+ years experience with loss forecasting or pricing models for credit-sensitive assets (mortgages, auto loans, credit cards, commercial lending)

- 2 years hands-on experience in SAS, R, Matlab or similar software

- Excellent communication skills

Preferred Qualifications

- Ph.D. in a quantitative field: Economics, Finance, Statistics, Mathematics, Physics or a related discipline

- 5+ years in financial services

- Familiarity with US Basel Requirements

- Experience handling large data sets

- Ability to code in C++, C# or Java

- Excellent presentation skills

Capital One will sponsor a qualified applicant for this role

Job: Quantitative Analytics
Primary Location: United States-Virginia-McLean-Northern VA-McLean Campus (19050)
Schedule: Full-time
Travel: No

Skills / Requirements

Important Notes