PNC Quantitative Analytics/Modeling Consultant Sr 

United States, Pennsylvania, Pittsburgh 

860482009

Preferred Qualifications:• 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, including PFE/SIMM, derivative pricing models, VaR models on CVA/MSR and other complex portfolios, and balance sheet (deposit and investment securities) valuation 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.
• Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.Primary Responsibilities:1.) Asset Liability Management, Market and Counterparty Credit Risk Model Development and Maintenance:- Develop a diverse range of models, test methodologies and assumptions and review outcomes to improve model performance.
-Evaluate model risks across different methodologies and reach conclusions on strengths and limitations of the chosen model methodology.2.) Stakeholder Collaboration and Communication:- Shepherd the models/updates through independent model validation, auditing, and regulatory reviews.
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 requiredneeded to be successful in this position.

Analytical Thinking, Credit Risks, Data Analytics, Financial Analysis, Model Development, Operational Risks, Quantitative Models, Risk AppetiteBank Quantitative Analysis, Consulting, Data Gathering and Reporting, Effective Communications, Predictive Analytics, Quantitative Techniques, Regulatory Environment - Financial Services, TestingRoles 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.No Required Certification(s)No Required License(s)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.

California Residents

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