Senior Capital Markets Quant & Model Validator

Fairygodboss; Pittsburgh (Allegheny County); Hybrid; USD 112,000 - 250,000; Full time

Job summary

PNC is seeking a Senior Validator to join the Model Risk Management team within Independent Risk Management. You will independently review Capital Markets models, including derivatives pricing, VaR, and counterparty risk models, across global locations and contribute to regulatory and internal validation.

The role emphasizes rigorous quantitative testing, clear communication with stakeholders, and ongoing process improvement within a robust risk management framework.

Qualifications

• Master's or Ph.D. in a quantitative field with a stochastic calculus background.
• 8+ years of experience in model development and/or model validation in financial services.
• Ability to independently assess complex quantitative models and clearly convey conclusions to diverse stakeholders.
• Knowledge of regulatory requirements related to market and counterparty credit risk models.
• Hands-on experience with Python; experience with QuantLib or other derivatives pricing libraries is preferred.

Responsibilities

• Perform qualitative and quantitative assessments of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing.
• Prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders.
• Establish and maintain relationships with model owners and developers; communicate results to technical and non-technical audiences.
• Collaborate to enhance validation processes and risk management practices.
• Develop and test new model frameworks and validate existing models, working with large data sets.

Skills

Strong communication skills

Education

Master's or PhD in quantitative field

Bachelor's degree

Tools

Python

QuantLib

Job description

PNC is seeking a Senior Validator to join the Model Risk Management team within Independent Risk Management. You will independently review Capital Markets models, including derivatives pricing, VaR, and counterparty risk models, across global locations and contribute to regulatory and internal validation.

The role emphasizes rigorous quantitative testing, clear communication with stakeholders, and ongoing process improvement within a robust risk management framework.