Quantitative Analytics and Model Consultant - Asset & Liability Management and Treasury Models

PNC • Tysons, VA

1d • $65,000 - $179,400

About The Position

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company’s success. As a Quantitative Analytics and Model Development Consultant within PNC's Model Risk Management organization, you will be based in Pittsburgh, PA, New York City or Tysons Corner, VA. We are seeking a Validator to join our Model Risk Management team at PNC. The position reports to a Model Risk Officer and is part of the Independent Risk Management organization. As a validator, you will conduct rigorous, independent reviews of PNC’s ALM and Treasury models, including those used for managing the bank’s interest rate risk in the banking book (e.g., non-maturing deposit modeling) and liquidity risk, as well as models supporting financial and CCAR processes. While this is the primary focus of the role, you may also support the Capital Markets domain as needed, which covers Value at Risk (VaR) models, derivative pricing models, and counterparty credit risk measurement models (e.g., Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA)). Job Description Performs 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. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models. Performs advanced qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Reviews reports and associated quantitative analysis. Validates existing models and assesses model risks. Evaluates identified model risks and reaches conclusions on strengths and limitations of the model. Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates. PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be: Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions. Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.

Requirements

• Master's or Ph.D. in a quantitative field such as Finance, Statistics, Physics, Mathematics, or a related discipline with a stochastic calculus background.
• Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
• Hands-on experience with one or more of Python, R, MATLAB, SQL, and QuantLib.
• Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role.
• Roles at this level typically require a university / college degree, with 5+ years of industry-relevant experience.

Nice To Haves

• Experience in ALM and Treasury model development and/or validation within the financial services industry is highly desired.
• Analytical Thinking
• Credit Risks
• Data Analytics
• Financial Analysis
• Model Development
• Operational Risks
• Quantitative Models
• Risk Appetite
• Bank Quantitative Analysis
• Consulting
• Data Gathering and Reporting
• Effective Communications
• Predictive Analytics
• Quantitative Techniques
• Regulatory Environment - Financial Services
• Testing

Responsibilities

• Independent Model Review: Perform qualitative and quantitative assessments of all aspects of models, including data quality and integrity, theoretical assumptions and methodologies, and performance testing.
• Assess conceptual soundness and performance of models based on detailed model documentation and testing results.
• Perform independent testing of model assumptions.
• Apply quantitative tools and techniques to measure and analyze model risks.
• Evaluate identified model risks and provide clear conclusions on model strengths and limitations.
• Maintain ongoing communication with model stakeholders such as developers, owners and reviewers.
• Prepare comprehensive validation reports for internal/external communications and/or regulatory compliance, using applicable templates.
• Stakeholder Collaboration and Communication: • Build effective relationships with key stakeholders, including model owners and model developers.
• Communicate validation results and insights clearly and concisely to both technical and non-technical audiences, including regulatory staff members.
• Collaborate within the Model Risk Management team to enhance validation processes and contribute to the continual improvement of model risk management practices within the organization.

Benefits

• PNC offers a comprehensive range of benefits to help meet your needs now and in the future.
• Depending on your eligibility, options for full-time employees include: medical/prescription drug coverage (with a Health Savings Account feature), dental and vision options; employee and spouse/child life insurance; 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, including select programs fully paid; a robust wellness program with financial incentives.
• In addition, PNC generally provides the following paid time off, depending on your eligibility: maternity and/or parental leave; up to 11 paid holidays each year; 9 occasional absence days each year, unless otherwise required by law; between 15 to 25 vacation days each year, depending on career level; and years of service.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees