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Senior Consultant in Market Risk Quantitative Analysis and Modeling

2 months ago

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

Position Overview: At PNC Financial Services Group, we recognize that our employees are our most valuable asset and key to our competitive edge in the financial markets.

We are committed to providing an exceptional experience for our clients while fostering a workplace culture that values inclusivity, respect, and the opportunity for all employees to contribute to our success.

As a Senior Consultant in Market Risk Quantitative Analysis and Modeling, you will be an integral part of our Model Risk Management team.

Key Responsibilities:

  • Independent Model Evaluation: Conduct thorough qualitative and quantitative assessments of various models, focusing on data integrity, theoretical assumptions, and performance metrics. Your responsibilities will include:
    • Evaluating the conceptual soundness and performance of models through comprehensive documentation and testing results.
    • Executing independent testing of model assumptions.
    • Utilizing advanced quantitative techniques to assess and analyze model risks.
    • Identifying model risks and articulating the strengths and weaknesses of the models.
    • Maintaining ongoing communication with stakeholders such as model developers and owners.
    • Drafting detailed validation reports for internal and external communication, ensuring compliance with regulatory standards.

Collaboration and Communication: Build effective relationships with key stakeholders, including model owners and developers. Clearly communicate validation findings and insights to both technical and non-technical audiences, including regulatory personnel. Work collaboratively within the Model Risk Management team to enhance validation processes and contribute to the continuous improvement of market and counterparty risk management practices.

Qualifications:

  • A Master's or Ph.D. in a quantitative discipline such as Finance, Mathematics, or Physics, with a strong foundation in stochastic calculus.
  • Proven experience in market risk and counterparty risk model development or validation within the financial services sector.
  • In-depth knowledge of regulatory standards related to market and counterparty credit risk models.
  • Exceptional written and verbal communication skills, capable of conveying complex technical concepts to diverse audiences.
  • Practical experience with programming languages and tools such as Python, R, MATLAB, SQL, and QuantLib.

At PNC, we take pride in our reputation and expect our employees to embody our core values:

  • Customer Focus: Understand and prioritize customer needs in all business decisions.
  • Risk Management: Assess and manage risks associated with business objectives to support PNC's Enterprise Risk Management Framework.

Benefits: PNC offers a comprehensive benefits package to support your current and future needs, including medical coverage, retirement plans, and paid time off.

Join us at PNC Financial Services Group, where we are dedicated to building strong communities and creating financial opportunities for individuals and businesses alike.