Senior Quantitative Analytics & Model Validator

PNC; New York (NY); On-site; USD 112,000 - 250,000; Full time

Benefits offered by this job

Health insurance

Dental insurance

Vision insurance

401(k) with company match

Pension plan

Stock purchase plan

Paid time off

Job summary

PNC is seeking a Senior Validator in its Model Risk Management team to independently review Capital Markets models, including derivatives pricing, VaR, and counterparty risk models. The role can be based in NYC, Pittsburgh, or Tysons Corner, and requires strong quantitative and communication skills.

You will perform rigorous assessments, prepare validation reports for regulatory audiences, and collaborate with model owners and developers to enhance risk practices within the organization.

Qualifications

• Master’s or Ph.D. in Finance, Physics, Mathematics, or a related quantitative field.
• 8+ years of experience within the financial services industry in model development and/or model validation.
• Strong written and verbal communication to convey technical conclusions to diverse stakeholders.
• Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR, PFE, CVA, and FVA.
• Hands-on experience with Python; experience with QuantLib or other derivatives pricing libraries is preferred.

Responsibilities

• Independently performs the most complex quantitative analyses and models development to support decision-making by running quantitative strategies.
• Develops new model frameworks by supporting the line of business and refines, monitors, and validates existing models.
• Performs comprehensive qualitative and quantitative assessments of models including theory, design, data quality, and performance testing.
• Evaluates model risks and communicates conclusions on strengths and limitations.
• Prepares detailed validation and regulatory documents using templates.

Skills

Python

Quantitative analysis

Communication

Regulatory knowledge

Derivatives pricing

Education

Master's or PhD in quantitative field

Bachelor's degree

Tools

QuantLib

Python libraries for finance

Job description

PNC is seeking a Senior Validator in its Model Risk Management team to independently review Capital Markets models, including derivatives pricing, VaR, and counterparty risk models. The role can be based in NYC, Pittsburgh, or Tysons Corner, and requires strong quantitative and communication skills.

You will perform rigorous assessments, prepare validation reports for regulatory audiences, and collaborate with model owners and developers to enhance risk practices within the organization.