Commercial Credit Model Validation Expert

$100,000 - $261,950/Yr

PNC - Pittsburgh, PA

Full-time - Senior

Remote - Pittsburgh, PA

Credit Intermediation and Related Activities

About the position

The Commercial Credit Model Validation Expert at PNC is responsible for conducting independent reviews and providing expert oversight of critical credit models, including loss forecasting models and risk assessments. This role is integral to the Independent Risk Management organization, ensuring compliance with regulatory standards and enhancing credit risk management practices. The position requires collaboration with stakeholders and the ability to communicate complex technical concepts effectively.

Responsibilities

• Perform qualitative and quantitative assessments of models including data quality, theoretical assumptions, and performance testing.
• Conduct independent testing of model assumptions and use quantitative tools to analyze model risks.
• Prepare detailed validation reports for internal and external communications and regulatory compliance.
• Lead validation projects and provide guidance to other validators in accordance with the model risk management framework.
• Establish effective relationships with key stakeholders and communicate validation results clearly to diverse audiences.

Requirements

• Master's or Ph.D. in a quantitative field such as Economics, Finance, or Mathematics.
• 10+ years of experience in financial and credit risk model development and/or validation.
• Knowledge of regulatory requirements related to credit risk models.
• Strong communication skills to convey complex concepts to diverse stakeholders.
• Hands-on experience in programming languages such as Python, R, SAS, and SQL.

Nice-to-haves

• Analytical Thinking
• Credit Risks
• Data Analytics
• Financial Analysis
• Model Development
• Operational Risks
• Quantitative Models
• Risk Appetite

Benefits

• Medical/prescription drug coverage
• Dental and vision options
• Life insurance for employees and dependents
• Short and long-term disability protection
• 401(k) with PNC match
• Pension and stock purchase plans
• Dependent care reimbursement account
• Back-up child/elder care
• Adoption, surrogacy, and doula reimbursement
• Educational assistance
• Robust wellness program with financial incentives
• Paid maternity and/or parental leave
• Paid holidays and vacation days