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Director of Basel II Modeling
Capital One Financial Corporation is a diversified financial services firm, whose subsidiaries Capital One, Capital N.A. and Capital One Bank (USA), N.A., collectively hold $121 billion in deposits and $150 billion in managed loans outstanding as of March 31, 2009. Capital One offers a broad spectrum of financial products and services to consumers, small businesses and commercial clients.
The Commercial Bank has the largest portfolio held by the bank after US Credit Cards, with approximately $35 billion in outstanding loans and $45 billion in commitments. The commercial banking portfolio comprises Commercial Real Estate (CRE), Commercial & Industrial (C&I) and Asset-Based Lending portfolios.
Key Responsibilities |
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Build Basel-II compliant scorecards and models for measuring obligor and facility risk
- Engage with Credit Approval and Underwriting organizations to understand loan and deal structures, facilitate discussion and drive agreement on proposed modeling approaches
- Take ownership of the model development process; lead all stages of model development from data collection, model building, model validation, testing and calibration
- Develop comprehensive model documentation that stands up to Capital One and regulatory standards
- Contribute to the development of a robust credit data analytical infrastructure for model development and validation
- Coordinate pilot and user acceptance tests prior to model implementation
- Partner with internal IT and vendor teams to implement models on selected rating platforms
Basic Qualifications:
- At least a Bachelors degree in a quantitative major (business, math, economics, finance, statistics, science, engineering, etc.)
- At least 5 years of progressive work experience
Preferred Qualifications:
- Masters or PhD in quantitative discipline
- 10 years of progressive experience in credit risk
- Experience developing PD, LGD models and scorecards for Commercial or Corporate banking
- Deep understanding and knowledge of Basel II principles and practice
- Experience developing documentation in preparation for Basel II or OCC/Fed exams
- Strong hands-on skills a must (SQL, SAS, Excel, VBA, etc)
Capital One will not file non-immigrant visa petitions for alien workers.
As a recipient of TARP funding subject to the ARRA, Capital One will not sponsor new H-1B petitions or transfer existing H1B visas for new hires to Capital One.
No agencies please. 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.