Senior Quant Analytics & Model Consultant

Fairygodboss; Houston (TX); On-site; USD 112,000 - 250,000; Full time

Job summary

PNC is seeking a senior Quantitative Analytics & Model Consultant within Market Risk Analytics. The role will develop VaR, PFE, and IRRBB analytics, working across trading and balance sheet activities to ensure sound risk measurement and regulatory compliance.

The successful candidate will collaborate with Market Risk Management, Model Validation, Treasury, ALM, Finance, and Capital Markets to provide independent quantitative review and governance, reporting to the Head of Market Risk Analytics.

Qualifications

• 6+ years of experience in market risk analytics or related field.
• Strong understanding of VaR, FRTB, and PFE.
• Proficient in Python for modeling and automation.
• Experience with Murex and Bloomberg preferred.
• Ability to manage multiple priorities and meet deadlines.

Responsibilities

• Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions.
• Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies.
• Supporting FRTB related analytics, including methodology development, benchmarking, and model impact assessments.
• Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet.
• Partnering with Model Risk Management to support model validation, audits, and regulatory reviews.

Skills

Python

VaR/FRTB/PFE knowledge

Independent thinker

Risk analytics

Education

Bachelor's degree

Tools

Murex

Bloomberg

Job description

PNC is seeking a senior Quantitative Analytics & Model Consultant within Market Risk Analytics. The role will develop VaR, PFE, and IRRBB analytics, working across trading and balance sheet activities to ensure sound risk measurement and regulatory compliance.

The successful candidate will collaborate with Market Risk Management, Model Validation, Treasury, ALM, Finance, and Capital Markets to provide independent quantitative review and governance, reporting to the Head of Market Risk Analytics.