Director, Operational Risk Statistical Analysis (USA) Job recruitment

Director, Operational Risk Statistical Analysis (USA)-708289

Description
Director: Operational Risk Analytics

Capital One is seeking an individual to lead the development of Capital One-s Basel II operational risk capital models, working within the Economic Capital Group which owns Capital One-s overall Basel II Economic Capital modeling effort.

Specific Responsibilities:

Lead the operational risk modeling team-s development of Basel II compliant Loss Distribution Approach (LDA) models and serve as a serve as a subject matter expert in development of statistical models and distributions to support other areas of economic capital modeling. This effort includes assessing the quality of internal data, incorporation of external data where appropriate, development of loss frequency and severity distributions, and monte carlo simulation to estimate capital requirements for operational risk. This individual will also be called on to establish rigorous statistical approaches to measuring credit loss distribution curves for credit economic capital and to support strategic risk modeling as needed. More specifically:
- Support the company-s Basel II preparedness and effectively execute on Pillar II ICAAP projects pertaining to operational risk capital.
- Support the operational risk data gathering effort with clearly defined data requirements, assessment of current data limitations for modeling purposes, and development of analytical approaches to assess and characterize data quality going forward.
- Lead team in the development and maintenance of statistical loss models for operational risk with a medium term goal of achieving Basel II compliance.
- Provide expert input and support for statistical model development for credit economic capital and strategic risk modeling. Work could include correlation modeling, loss distribution fitting, and Monte Carlo simulation model development.
- Produce written documentation on modeling results for use in model validation and regulatory review.
- Communicate results with business partners to support education regarding risk trends as well as to obtain feedback based on business intuition around results. Develop effective communication pathways to develop and maintain understanding around and credibility for the economic capital rates to enable effective use.
- Interface with the regulators, model validation, and internal model governance teams to facilitate understanding of our economic capital modeling and to effectively take-away feedback.
- Develop a high-performing team and ensure career development and progression

Qualifications
Basic Qualifications:
- Master-s degree in quantitative finance, economics, engineering, statistics or another quantitative discipline
- 5 years risk analytics experience
- Experience with operational risk modeling and Basel II
Preferred Qualifications
- PhD in Finance, Economics, or the Sciences preferred
- 7+ years of financial services experience, banking experience preferred
- 5+ years risk analytics experience
- 3+ years experience with Basel II
- Strong Matlab and/or SAS programming skills
- Solid knowledge of operational risk capital modeling
- Strong technical writing skills and experience in preparing documentation for model validation or regulatory review
- Strong presentation and communication skills
- Ability to communicate highly technical concepts effectively
- Ability to bring both an academic and practical perspective to the role
- Highest ethical standards
- Team player receptive to collaborative sharing of ideas
- Experience managing people and building strong teams

Capital One will consider sponsoring new H1B for qualified applicants

Job : Quantitative Analytics
Primary Location : United States-Virginia-McLean-Northern VA-McLean Campus (19050)
Schedule : Full-time
Travel : Yes, 10 % of the Time

Job Posting :
Unposting Date :