Senior Quantitative Risk Analytics & Modeling Consultant

PNC Financial Services Group; Pittsburgh (Allegheny County); On-site; USD 130,000 - 200,000; Full time

Job summary

PNC Financial Services Group is seeking a Senior Quantitative Analytics & Model Consultant within Market Risk Management. Based in Pittsburgh, PA or other approved locations, you will develop and enhance VaR, PFE, and related risk analytics for risk limits, reporting, and regulatory submissions.

You will work with Market Risk Management, Model Validation, Treasury and ALM to provide independent quantitative review, effective challenge, and model governance.

Qualifications

• 6+ years of industry experience in financial risk analytics.
• Proficient in VaR, PFE, and IRRBB methodologies.
• Strong ability to challenge and validate risk models.

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

VaR modeling

PFE analysis

IRRBB experience

Model governance

Quantitative analysis

Tools

VaR

PFE

IRRBB

Job description

PNC Financial Services Group is seeking a Senior Quantitative Analytics & Model Consultant within Market Risk Management. Based in Pittsburgh, PA or other approved locations, you will develop and enhance VaR, PFE, and related risk analytics for risk limits, reporting, and regulatory submissions.

You will work with Market Risk Management, Model Validation, Treasury and ALM to provide independent quantitative review, effective challenge, and model governance.