Senior ALM Quant Analytics & Model Expert

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

Benefits offered by this job

Health benefits

401(k) with company match

Paid time off

Job summary

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of Interest Rate Risk in the Banking Book (IRRBB). Based in multiple U.S. cities, the role requires strong quantitative skills and collaboration across functions to support CCAR processes and regulatory reviews.

Responsibilities include developing analytics in Python/SQL, monitoring exposures, and partnering with Front Office, Finance, IT, and Compliance. Experience in NII/EVE and model risk is essential.

Qualifications

• 5+ years in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Proficient in Python and SQL; familiarity with QRM/Aladdin/PolyPaths/Murex preferred.
• Bachelor's or Master's in Finance, Economics, or quantitative fields.

Responsibilities

• Support the Head of IRRBB in risk oversight strategy.
• Develop analytics and automation using Python and SQL.
• Monitor IRRBB exposures and validate limits adherence.
• Quantify risks in deposits, rate models, OAS, and mortgage portfolios.
• Collaborate with Front Office, Finance, IT, Legal, Compliance, and others.

Skills

Python

SQL

IRRBB

NII/EVE

Communication

Education

Bachelor's or Master's in Finance/Economics/Quantitative fields

Tools

QRM

Aladdin

PolyPaths

Murex

Job description

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of Interest Rate Risk in the Banking Book (IRRBB). Based in multiple U.S. cities, the role requires strong quantitative skills and collaboration across functions to support CCAR processes and regulatory reviews.

Responsibilities include developing analytics in Python/SQL, monitoring exposures, and partnering with Front Office, Finance, IT, and Compliance. Experience in NII/EVE and model risk is essential.