Senior IRRBB & ALM Quant Analytics Lead

PNC; Washington; On-site; USD 123,000 - 296,000; Full time

Job summary

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of IRRBB, focusing on NII and EVE frameworks. The role supports risk governance across Pittsburgh, Charlotte, NYC, Cleveland, Washington, and Buffalo with strong Python/SQL analytics.

Candidates should bring 5+ years in Market Risk/ALM, solid NII/EVE knowledge, and experience with Python, SQL, and risk-model tools. Collaboration across Front Office, Finance, IT, Legal, and Compliance is essential.

Qualifications

• 5+ years of experience in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Technical proficiency in Python and SQL; familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus.

Responsibilities

• Support the Head of IRRBB in executing risk oversight strategy.
• Develop analytics and automation using Python and SQL.
• Monitor IRRBB exposures and validate adherence to limits.
• Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
• Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
• Contribute to CCAR processes, regulatory reviews, and governance forums.

Skills

Python

SQL

QRM

Aladdin

Murex

Education

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

Tools

PolyPaths

Aladdin

QRM

Job description

PNC is seeking a Quantitative Analytics and Model Expert to provide second-line oversight of IRRBB, focusing on NII and EVE frameworks. The role supports risk governance across Pittsburgh, Charlotte, NYC, Cleveland, Washington, and Buffalo with strong Python/SQL analytics.

Candidates should bring 5+ years in Market Risk/ALM, solid NII/EVE knowledge, and experience with Python, SQL, and risk-model tools. Collaboration across Front Office, Finance, IT, Legal, and Compliance is essential.