Senior VaR Analytics & Risk Model Consultant

PNC; Washington (Washington County); On-site; USD 112,000 - 250,000; Full time

Benefits offered by this job

Medical benefits

401(k) with match

Paid time off

Job summary

PNC seeks a Senior Quantitative Analytics & Model Consultant in Market Risk Management. You will develop and enhance core analytics focused on VaR, PFE, and IRRBB, ensuring sound risk measurement and regulatory compliance across trading and balance sheet activities.

The role involves collaboration with Model Risk Management, Treasury, ALM, Finance, and Capital Markets. Based in multiple approved locations, you will report to the Head of Market Risk Analytics and drive independent quantitative

Qualifications

• Strong programming in Python for model implementation and data analysis.
• Experience with market risk analytics and regulatory frameworks.
• 8+ years of industry experience in market risk analytics or related fields.

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; refines, monitors, and validates existing models; communicates with model owners.
• Performs qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity.
• Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.

Skills

Python

VaR

FRTB

PFE

Murex

Bloomberg

Quantitative modeling

Education

Bachelor's degree

Tools

Murex

Bloomberg

Job description

PNC seeks a Senior Quantitative Analytics & Model Consultant in Market Risk Management. You will develop and enhance core analytics focused on VaR, PFE, and IRRBB, ensuring sound risk measurement and regulatory compliance across trading and balance sheet activities.

The role involves collaboration with Model Risk Management, Treasury, ALM, Finance, and Capital Markets. Based in multiple approved locations, you will report to the Head of Market Risk Analytics and drive independent quantitative