Quantitative Analytics/Modeling Consultant Sr.

2 days ago


Pittsburgh, Pennsylvania, United States PNC Financial Services Group Full time
Job Summary

PNC Financial Services Group is seeking a highly skilled Quantitative Analytics/Modeling Consultant Sr. to join our Market Risk Management organization in Pittsburgh, PA or Tysons Corner, VA. As a key member of our team, you will be responsible for developing and maintaining market risk and counterparty credit risk models, ensuring their accuracy, reliability, and compliance with regulatory requirements.

Key Responsibilities
  • Develop and maintain market risk and counterparty credit risk models, including Potential Future Exposure (PFE) and Standard Initial Margin Model (SIMM), Value at Risk (VaR) models on various trading/fair value hedging portfolios, and asset and liability models measuring interest rate risk.
  • Ensure the accuracy, reliability, and compliance of these critical models with PNC's model risk management framework and regulatory requirements.
  • Collaborate with stakeholders, including fellow developers, model owners/risk management teams, model validators, and regulatory bodies, to communicate model methodology, development progress, results, and insights.
  • Prepare detailed documentation on the model methodology and outcomes in compliance with PNC's Model Risk Management Framework.
Requirements
  • Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a strong stochastic calculus background.
  • Extensive experience in market risk and counterparty risk model development and/or validation within the financial services industry.
  • In-depth knowledge of modeling methodology and derivative products related to market and counterparty credit risk models.
  • Knowledge of regulatory requirements related to market and counterparty risk (Market Risk Capital Rule (MRR), Fundamental Review of Trading Book (FRTB), Uncleared Margin Rules (UMR), and CVA Capital (SA/BA-CVA)) strongly desired.
Preferred Qualifications
  • Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
  • Experience with data analytics and financial analysis.
  • Knowledge of operational risks and risk appetite.
What We Offer

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, 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, and 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.



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