Senior Quant Analytics & Risk Model Consultant (VaR/PFE)

PNC; New York (NY); On-site; USD 112,000 - 249,600; Full time

Job summary

PNC is seeking a Senior Quantitative Analytics & Model Consultant within Market Risk Management. The role focuses on developing VaR and PFE models, with exposure to IRRBB, and ensuring sound risk measurement and regulatory compliance.

Based across multiple in-location hubs in the US, report-to Head of Market Risk Analytics. The ideal candidate brings 8+ years in market risk analytics, strong Python skills, and familiarity with VaR, FRTB, and CCAR/CECL.

Qualifications

• 8+ years in market risk analytics, quantitative modeling, or related front-office analytics.
• Strong Python programming for model implementation and automation.
• Experience with VaR, FRTB, PFE; CCAR/CECL is a plus.
• Familiarity with Murex and Bloomberg is preferred.

Responsibilities

• Develop and maintain VaR, PFE, stress, and exposure models for risk limits and regulatory submissions.
• Perform complex quantitative analyses and run quantitative strategies to support decision-making.
• Support FRTB analytics, benchmarking, and model impact assessments.
• Provide quantitative support for new products and portfolio changes.
• Collaborate with Model Risk Management for validation, audits, and regulatory reviews.

Skills

Analytical Thinking

Credit Risks

Data Analytics

Financial Analysis

Model Development

Operational Risks

Quantitative Models

Risk Appetite

Education

Bachelor's

Tools

Murex

Bloomberg

Job description

PNC is seeking a Senior Quantitative Analytics & Model Consultant within Market Risk Management. The role focuses on developing VaR and PFE models, with exposure to IRRBB, and ensuring sound risk measurement and regulatory compliance.

Based across multiple in-location hubs in the US, report-to Head of Market Risk Analytics. The ideal candidate brings 8+ years in market risk analytics, strong Python skills, and familiarity with VaR, FRTB, and CCAR/CECL.