Quant Analytics & ALM Specialist for IRRBB

Fairygodboss; Washington (District of Columbia); On-site; USD 123,000 - 296,000; Full time

Benefits offered by this job

Medical and prescription coverage

401(k) retirement plan with company匹配

Paid time off and holidays

Job summary

PNC is seeking a Quantitative Analytics and Model Expert to join the Market Risk Oversight team. You will provide second-line oversight of IRRBB, focusing on NII and EVE, while developing analytics in Python and SQL and collaborating across functions.

Based in multiple offices (Pittsburgh, Charlotte, NYC, Cleveland, Washington DC, Buffalo, Chicago, Houston), you will contribute to regulatory reviews and governance while communicating complex model risks to stakeholders.

Qualifications

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

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

IRRBB expertise

Python

SQL

communication

collaboration

Education

Bachelor's degree

Master's degree

Tools

QRM

Aladdin

PolyPaths

Murex

Job description

PNC is seeking a Quantitative Analytics and Model Expert to join the Market Risk Oversight team. You will provide second-line oversight of IRRBB, focusing on NII and EVE, while developing analytics in Python and SQL and collaborating across functions.

Based in multiple offices (Pittsburgh, Charlotte, NYC, Cleveland, Washington DC, Buffalo, Chicago, Houston), you will contribute to regulatory reviews and governance while communicating complex model risks to stakeholders.