Senior ALM & IRRBB Quant Analytics Lead

PNC; Pittsburgh (Allegheny County); On-site; USD 100,000 - 130,000; Full time

Benefits offered by this job

Medical and prescription drug coverage

Dental and vision options

401(k) with PNC match

Educational assistance

Comprehensive wellness program

Job summary

PNC Financial Services Group, Inc. is seeking a Quantitative Analytics and Model Expert in Pittsburgh, PA. This role involves providing oversight for Interest Rate Risk in the Banking Book and necessitates strong quantitative skills and technical proficiency in Python and SQL.

Responsibilities include developing analytics, monitoring exposures, and partnering with multiple stakeholders. A minimum of 8 years in a related field with a strong knowledge of NII and EVE frameworks is required.

Qualifications

• 8 years of experience in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Strong communication and collaboration skills.

Responsibilities

• Support the Head of IRRBB in executing risk oversight strategy.
• Monitor IRRBB exposures and validate adherence to limits.
• Quantify and analyze risks including deposit modeling and rate models.

Skills

Analytical Thinking

Data Analytics

Quantitative Models

Risk Appetite

Education

Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields

Tools

Python

SQL

QRM

Aladdin

PolyPaths

Murex

Job description

PNC Financial Services Group, Inc. is seeking a Quantitative Analytics and Model Expert in Pittsburgh, PA. This role involves providing oversight for Interest Rate Risk in the Banking Book and necessitates strong quantitative skills and technical proficiency in Python and SQL.

Responsibilities include developing analytics, monitoring exposures, and partnering with multiple stakeholders. A minimum of 8 years in a related field with a strong knowledge of NII and EVE frameworks is required.