Senior Quant Risk Analytics & VaR/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 to join Market Risk Management. Based in Houston, TX or other approved locations, you will develop and maintain VaR, PFE, stress and exposure models to support risk limits and regulatory reporting.

You will work closely with model governance, validation, Treasury, ALM and Capital Markets, applying Python, Murex and Bloomberg, delivering analyses under tight deadlines while ensuring compliance and sound risk measurement.

Qualifications

• 6+ years of experience in market risk analytics or related fields.
• Strong understanding of VaR, FRTB, and PFE.
• Proficiency in Python for model implementation and data analysis.
• Experience with Murex and Bloomberg preferred.
• Ability to work independently and manage multiple priorities.

Responsibilities

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

Skills

Python programming

VaR

FRTB

PFE

Market risk analytics

Education

Bachelor's degree

Tools

Murex

Bloomberg

Python

Job description

PNC is seeking a Senior Quantitative Analytics & Model Consultant to join Market Risk Management. Based in Houston, TX or other approved locations, you will develop and maintain VaR, PFE, stress and exposure models to support risk limits and regulatory reporting.

You will work closely with model governance, validation, Treasury, ALM and Capital Markets, applying Python, Murex and Bloomberg, delivering analyses under tight deadlines while ensuring compliance and sound risk measurement.