Quantitative Analytics & Model Consultant Senior - Market Risk

PNC Financial Services Group; Pittsburgh (Allegheny County); In loco; USD 130.000 - 200.000; Tempo pieno

Descrizione del lavoro

PNC Financial Services Group is seeking a Senior Quantitative Analytics & Model Consultant within Market Risk Management. Based in Pittsburgh, PA or other approved locations, you will develop and enhance VaR, PFE, and related risk analytics for risk limits, reporting, and regulatory submissions.

You will work with Market Risk Management, Model Validation, Treasury and ALM to provide independent quantitative review, effective challenge, and model governance.

Competenze

• 6+ years of industry experience in financial risk analytics.
• Proficient in VaR, PFE, and IRRBB methodologies.
• Strong ability to challenge and validate risk models.

Mansioni

• Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions
• Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies
• Supporting FRTB related analytics, including methodology development, benchmarking, and model impact assessments
• Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet
• Partnering with Model Risk Management to support model validation, audits, and regulatory reviews

Conoscenze

VaR modeling

PFE analysis

IRRBB experience

Model governance

Quantitative analysis

Strumenti

VaR

PFE

IRRBB

Descrizione del lavoro

Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company's success. As a(n) [position title] within PNC's [name of division] organization, you will be based in [city/state location of position].

Job Profile

Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company's success. As a Quantitative Analytics & Model Consultant Senior within PNC's Market Risk Management organization, you will be based in Pittsburgh, PA / Charlotte, NC / New York City / Cleveland, OH / Washington, DC / Buffalo, NY / Chicago, IL / Houston, TX, or another approved PNC location.

This role will develop and enhance core Market Risk and Counterparty Risk analytics, focusing on Value at Risk (VaR) models but also spanning Potential Future Exposure (PFE), and Interest Rate Risk in the Banking Book (IRRBB). The position plays a critical role in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across both trading and balance sheet activities.

The successful candidate will work closely with Market Risk Management, Model Validation, Treasury, Asset & Liability Management (ALM), Finance, and the Capital Markets Group to provide independent quantitative review, effective challenge, and model governance, ensuring that methodologies, assumptions, and limitations are well understood and fit for purpose. This is a high visibility role reporting directly to the Head of Market Risk Analytics.

Key responsibilities include:

• Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions
• Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies.
• Supporting FRTB related analytics, including methodology development, benchmarking, and model impact assessments
• Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet
• Partnering with Model Risk Management to support model validation, audits, and regulatory reviews

Preferred skills and experience include:

• 6+ years of industry