JOE - October 2012

 
Capital One
Credit Risk Management
Commercial Bank
Senior Basel II Modeling Manager
 
Position Title/Short Description
Title: Senior Basel II Modeling Manager
Section: 5 -- Full-Time Nonacademic
Location: Richmond & McLean, Metro DC , VA, USA
JEL Classifications:
C -- Mathematical and Quantitative Methods
C1 -- Econometric and Statistical Methods and Methodology: General
C5 -- Econometric Modeling
G -- Financial Economics
Keywords: Basel II, Banking, Credit Risk, Quantitative, Economics,
Deadline Information: none

JOE ID Number: 201210_397480

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Full Text of JOE Listing:
Capital One is one of the worlds largest, most analytically sophisticated financial service providers. Our growing company is known for giving affordable access to credit to tens of millions of customers worldwide. We also provide auto, home and business loans, plus banking and other financial services.

Expertise in quantitative analysis is central to our success in all these markets. Our 100+ modelers thrive in a culture of mutual respect, excellence and innovation. We have several opportunities available for top-notch quantitative professionals.

This position is part of Capital One's Risk Management division. Successful candidates will partner cross-functionally with business throughout the company to deliver breakthrough analytical solutions to support a winning strategy in a continually changing business environment.

Duties
Research, critically evaluate, & propose quantitative risk modeling methodologies for retail BASEL II models . Analyze internal & external data for portfolio segmentation and validation Develop and validate models of probability of default (PD), loss given default (LGD) and exposure at default (EAD) under the framework of Basel II and ICAAP Determine, develop & document data requirements & modeling assumptions, model results, and methodological alternatives considered. Collaborate with lines of business to ensure models are business-driven & empirically derived. Prepare ad-hoc analysis & reporting as requested Perform ongoing model testing & monitoring of credit EC results Respond to auditor & regulatory reviewers for analytical inquiries & defend analytical process & model results.

Requirements

Basic:
Masters degree in economics, statistics, finance, operations research, or other quantitative disciplines
5+ years of experience in credit risk modeling in banking or financial service industry
3+ years of Retail Basel II and/or Economic Capital modeling experience
High degree of proficiency in SAS and SQL
Demonstrated ability to work across organizational boundaries and well developed interpersonal skills
Exceptional verbal and written communication skills, and technical writing skills
Ability to effectively manage multiple priorities and timelines

Preferred:
Ph.D. in finance, economics, statistics, operations research, or other quantitative disciplines
7+ years of experience in credit risk modeling in banking or financial service industry
5+ years of Retail Basel II and/or Economic Capital modeling experience
Application Instructions:

Please submit resume to hayley.sykes@capitalone.com and clearly mark AEA APPLICANT in the subject heading. Qualified applicants will be invited to apply directly to the appropriate position after review of their credentials.

Email for Applications: hayley.sykes@capitalone.com


For more information, email: hayley.sykes@capitalone.com

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