Senior Associate, Quantitative Analyst - Funds Transfer Pricing, CMA

Capital One • McLean, VA

7d

About The Position

At Capital One data is at the center of everything we do. As a startup, we disrupted the credit card industry by individually personalizing every credit card offer using statistical modeling and the relational database, cutting edge technology in 1988! Fast-forward a few years, and this little innovation and our passion for data has skyrocketed us to a Fortune 200 company and a leader in the world of data-driven decision-making. As a Quantitative Analyst at Capital One, you’ll be part of a team that’s leading the next wave of disruption at a whole new scale, using the latest in cloud computing and machine learning technologies and operating across billions of customer records to unlock the big opportunities that help everyday people save money, time and agony in their financial lives. Capital One’s Capital Markets & Analytics - Funds Transfer Pricing (FTP) team is seeking a highly motivated, talented, and collaborative professional. The Funds Transfer Pricing team is responsible for assigning a cost of funds for virtually all assets and liabilities on the balance sheet. In order to assign a cost of funds, the team works with stakeholders across the Company to create, manage, and implement an effective FTP framework. Through this function the team enables the business lines to make the right marginal product and pricing decisions, facilitates interest rate risk management of the Company, and provides an essential component to each individual line of business’s Profit & Loss (P&L).

Requirements

• Excellent coding skills in Python (must-have) and/or R (good to have) with self-drive to create accurate, efficient, and organized code using industry best practices
• Hands-on experience utilizing data analysis and visualization packages to gain insights from large datasets
• Deep understanding of quantitative analysis methods with practical considerations on generating robust predictive forecasts within the context of financial institutions and/or commercial bank lending
• Demonstrated track-record in applying statistical, machine learning and/or econometric analysis to solve business problems
• Drive to develop and maintain high quality and transparent model documentation
• Strong communication skills both written and verbal, and storytelling skills for presentations
• Experience with simulation-based modeling approach, stochastic processes, etc
• Appreciation for processes, controls, and good governance
• Currently has, or is in the process of obtaining one of the following with an expectation that the required degree will be obtained on or before the scheduled start date: A Bachelor's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) plus 3 years of experience performing data analytics A Master's Degree in a quantitative field (Statistics, Economics, Operations Research, Analytics, Mathematics, Computer Science, or a related quantitative field) or an MBA with a quantitative concentration plus 1 year of experience performing data analytics

Nice To Haves

• 2+ years of banking experience within a treasury or balance sheet management function
• 3+ years of experience in financial analysis & modeling
• 2+ years of experience with AWS
• 2+ years of experience with Spark and SQL
• Proficiency in Scientific Python ecosystems (such as: Pandas, Polars, NumPy, Dask)
• Strong critical thinking and problem solving skills

Responsibilities

• Use Python and/or Spark to build and maintain automated scripts that calculate FTP rates
• Build and unit test production level code
• Support the development of a well-controlled framework to manage the funds transfer pricing infrastructure
• Maintain the efficiency and accuracy of our models through continuous improvement and application of best practices
• Develop and maintain high quality and transparent documentation
• Ensure appropriate governance in our space as it pertains to Enterprise Data standards and Enterprise Risk/Model standards
• Collaborate across the team resolve issues in the production processes and understand new strategies and products and their implications to our models
• Support cross functional enterprise projects that impact our data sourcing and FTP calculations

Benefits

• Capital One offers a comprehensive, competitive, and inclusive set of health, financial and other benefits that support your total well-being.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level