Senior Bank Investment Risk & Quantitative Modeling Expert

The PNC Financial Services Group Inc.; Pittsburgh (Allegheny County); On-site; USD 120,000 - 180,000; Full time

Job summary

The PNC Financial Services Group Inc. in Pittsburgh, PA seeks a Bank Investment Risk Specialist Senior to perform advanced quantitative analyses supporting market risk monitoring.

You will operate and validate risk models, analyze VaR/PFE, and drive data integrity and reporting for regulatory compliance. Requires a Master’s degree in a quantitative field and 1 year of relevant experience, with skills in SQL, R, C++, and Python.

Qualifications

• Master’s degree in Computational Finance, Financial Engineering, Statistics or Applied Mathematics.
• 1 year of financial industry experience relevant to market risk management required.
• Experience with VaR, PFE, and liquidity stress testing is expected.
• Familiarity with regression, time series analysis and stochastic calculus.

Responsibilities

• Operate financial and risk models related to market, liquidity, and capital adequacy.
• Validate data sources, documentation, and outputs for risk models.
• Analyze VaR, PFE, and backtesting results to support regulatory requirements.
• Lead analytical projects from design to implementation and data integrity.
• Collaborate with model developers on new market risk models and UAT.
• Develop reporting infrastructure and databases for financial products.

Education

Master's degree in Computational Finance, Financial Engineering, Statistics, or Applied Mathematics

Tools

SQL

R

C++

Python

VBA

Job description

The PNC Financial Services Group Inc. in Pittsburgh, PA seeks a Bank Investment Risk Specialist Senior to perform advanced quantitative analyses supporting market risk monitoring.

You will operate and validate risk models, analyze VaR/PFE, and drive data integrity and reporting for regulatory compliance. Requires a Master’s degree in a quantitative field and 1 year of relevant experience, with skills in SQL, R, C++, and Python.