Market Risk Quantitative Analytics/Modeling Consultant Sr.

2 months ago

Vienna, United States The PNC Financial Services Group, Inc Full time
Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company's success. As a Quantitative Analytics/Modeling Consultant Sr. within PNC's Model Risk Management organization, you can be based in Pittsburgh, PA or Tyson's Corner, VA.

We are seeking a Senior Validator to be a part of our Model Risk Management team at PNC. The position reports to the Senior Validation Manager for Market Risk and Counterparty Risk Models and is part of the Independent Risk Management organization.

As a senior validator you will perform rigorous independent reviews of some of PNC's most important models including Value at Risk (VaR) models, derivative pricing models, interest rate models, asset and liability models measuring interest rate risk and liquidity, securities valuation models, and counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA).

Key Responsibilities:

1. Independent Model Review: Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing; Specific duties include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results (ii) perform independent testing of model assumptions (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and reach conclusions on strengths and limitations of the model; (v) conduct on-going communication with model stakeholders such as developers, owners and reviewers; and (vi) prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.

2. Stakeholder Collaboration and Communication: Establish effective relationships with key stakeholders, including model owners and model developers. Communicate validation results and insights clearly and concisely to both technical and non-technical audiences, including regulatory staff members. Collaborate within the Model Risk Management team to enhance validation processes and contribute to the continual improvement of market and counterparty risk management practices within the organization.

Qualifications:

- Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
- Experience in market risk and counterparty risk model development and/or validation within the financial services industry is required.
- Knowledge of regulatory requirements related to market and counterparty credit risk models, including PFE, CVA, FVA, derivative pricing models, VaR models.
- Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
- Hands-on experience with Python, R, MATLAB, SQL, and QuantLib.

Job Description
  • Independently performs the most complex quantitative analyses and models development to support decision-making by running quantitative strategies.
  • Develops new model frameworks by supporting the line of business. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models.
  • Performs the most complex qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Reviews reports and associated quantitative analysis. Validates existing models and assesses model risks.
  • Evaluates identified model risks and reaches conclusions on strengths and limitations of the model.
  • Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.
PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be:
  • Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions.
  • Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.


Qualifications

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and required certifications/licensures needed to be successful in this position.

Preferred Skills
Analytical Thinking, Credit Risks, Data Analytics, Financial Analysis, Model Development, Operational Risks, Quantitative Models, Risk Appetite

Competencies
Bank Quantitative Analysis, Consulting, Data Gathering and Reporting, Effective Communications, Predictive Analytics, Quantitative Techniques, Regulatory Environment - Financial Services, Testing

Work Experience
Roles at this level typically require a university / college degree. Higher level education such as a Masters degree, PhD, or certifications is desirable. Industry relevant experience is typically 8+ years. Specific certifications are often required. In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered.

Education
Bachelors

Certifications
No Required Certification(s)

Licenses
No Required License(s)

Benefits

PNC offers a comprehensive range of benefits to help meet your needs now and in the future. Depending on your eligibility, options for full-time employees include: medical/prescription drug coverage (with a Health Savings Account feature), dental and vision options; employee and spouse/child life insurance; short and long-term disability protection; 401(k) with PNC match, pension and stock purchase plans; dependent care reimbursement account; back-up child/elder care; adoption, surrogacy, and doula reimbursement; educational assistance, including select programs fully paid; a robust wellness program with financial incentives.

In addition, PNC generally provides the following paid time off, depending on your eligibility*: maternity and/or parental leave; up to 11 paid holidays each year; 8 occasional absence days each year, unless otherwise required by law; between 15 to 25 vacation days each year, depending on career level; and years of service.

To learn more about these and other programs, including benefits for full time and part-time employees, visit pncbenefits.com > New to PNC.

*For more information, please click on the following links:

Time Away from Work

PNC Full-Time Benefits Summary

PNC Part-Time Benefits Summary

Disability Accommodations Statement

If an accommodation is required to participate in the application process, please contact us via email at AccommodationR[redacted]. Please include "accommodation request" in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email. Emails not related to accommodation requests will not receive responses. Applicants may also call [redacted] and say "Workday" for accommodation assistance. All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.

At PNC we foster an inclusive and accessible workplace. We provide reasonable accommodations to employment applicants and qualified individuals with a disability who need an accommodation to perform the essential functions of their positions.

Equal Employment Opportunity (EEO)

PNC provides equal employment opportunity to qualified persons regardless of race, color, sex, religion, national origin, age, sexual orientation, gender identity, disability, veteran status, or other categories protected by law.

California Residents

Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.

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