IRRBB Quant & Model Expert | Python & SQL

Fairygodboss; Buffalo (NY); On-site; USD 123,000 - 296,000; Full time

Benefits offered by this job

Health insurance

401(k) with match

Paid time off

Job summary

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of IRRBB, focusing on NII and EVE. Based in multiple cities, including Buffalo, NY, this role requires strong quantitative skills and collaboration across Front Office, Finance, IT, Legal, and Compliance.

The position emphasizes risk assessment, model development, and regulatory support, with responsibilities spanning model validation, CCAR, and governance activities. Excellent communication is essential.

Qualifications

• 5+ years of experience in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Proficiency in Python and SQL; familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus.
• Bachelor's or Master's degree in Finance, Economics, or quantitative fields.
• Strong communication and collaboration skills.

Responsibilities

• Support the Head of IRRBB in executing risk oversight strategy.
• Develop analytics and automation using Python and SQL.
• Monitor IRRBB exposures and validate adherence to limits.
• Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
• Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
• Contribute to CCAR processes, regulatory reviews, and governance forums.

Skills

Python

SQL

NII

EVE

QRM

Aladdin

PolyPaths

Murex

Analytics

Communication

Education

Finance/Economics degree

Tools

QRM

Aladdin

PolyPaths

Murex

Job description

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of IRRBB, focusing on NII and EVE. Based in multiple cities, including Buffalo, NY, this role requires strong quantitative skills and collaboration across Front Office, Finance, IT, Legal, and Compliance.

The position emphasizes risk assessment, model development, and regulatory support, with responsibilities spanning model validation, CCAR, and governance activities. Excellent communication is essential.