Bank Investment Risk Specialist Senior

PNC Bank•Pittsburgh, PA

18h•Onsite

About The Position

The PNC Financial Services Group, Inc. seeks a Bank Investment Risk Specialist Senior in Pittsburgh, PA. Work within the Market Risk Management department and provide advanced quantitative and financial analyses utilizing financial risk modeling software programs and modeling tools in support of monitoring market risk. Specific duties include: (1) operating financial models related to market risk, liquidity risk, capital adequacy, regulatory reporting requirements and/or credit/counterparty exposures; (2) maintaining risk management models including review and validation of data sources, documentation, outputs; (3) analyzing results of various processes such as Value-at-Risk (VaR) models, Potential Future Exposure (PFE) models, economic capital models, liquidity stress tests, backtesting and/or P&L attribution to support current regulatory requirements; (4) assessing and understanding movements in risk parameters and their impact on risk; (5) leading and executing analytical projects, from solution design and data integrity evaluation through documentation and implementation; (6) partnering with model developers to design and user acceptance test new market risk models; and (7) developing reporting infrastructure, including databases, for financial products, leveraging knowledge of computational methodologies and assisting other business groups to better utilize system capabilities and meet requirements.

Requirements

Master's degree in Computational Finance, Financial Engineering, Statistics, or Applied Mathematics
1 year of financial industry experience relevant to market risk management involving capital analysis, risk evaluation, and statistical modeling
Experience with financial instruments and markets including interest-rate risk, and corporate credit risk management concepts including asset pricing, portfolio analysis, Value at Risk and stress testing
Experience with markets and valuation for financial products including fixed income securities
Experience with statistical methods for analyzing financial data including regression, statistical inference, and time series analyses using statistical languages
Experience with probabilistic techniques for finance including financial models that rely on stochastic calculus
Experience with capital assessment using quantitative methods to evaluate risk exposures and support compliance with risk-based capital framework
Experience managing and reconciling complex financial datasets, streamlining data aggregation and reporting, and resolving discrepancies to ensure data accuracy
Experience with financial computing and analysis of financial data using VBA
Knowledge of numerical methods for finance including Monte Carlo and optimization methods and finite difference methods for partial differential equations
Knowledge of financial computing and analysis of financial data using languages including SQL, R, C++, and Python

Responsibilities

Operating financial models related to market risk, liquidity risk, capital adequacy, regulatory reporting requirements and/or credit/counterparty exposures
Maintaining risk management models including review and validation of data sources, documentation, outputs
Analyzing results of various processes such as Value-at-Risk (VaR) models, Potential Future Exposure (PFE) models, economic capital models, liquidity stress tests, backtesting and/or P&L attribution to support current regulatory requirements
Assessing and understanding movements in risk parameters and their impact on risk
Leading and executing analytical projects, from solution design and data integrity evaluation through documentation and implementation
Partnering with model developers to design and user acceptance test new market risk models
Developing reporting infrastructure, including databases, for financial products, leveraging knowledge of computational methodologies and assisting other business groups to better utilize system capabilities and meet requirements