Quantitative Analytics and Model Consultant Senior - Asset Liability Management

PNC Bank • Pittsburgh, PA

1d • $80,000 - $209,300 • Onsite

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 Consultant Senior within PNC's Market Risk Oversight organization, you will be based in Pittsburgh, PA, New York City, Cleveland, OH, Washington, DC or Charlotte, NC. This position is primarily based in a PNC location. This role provides second-line oversight of Interest Rate Risk in the Banking Book, focusing on NII and EVE frameworks. The position requires strong quantitative skills, technical proficiency, and the ability to collaborate across multiple functions. 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. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models. Performs the most complex 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

• 8 years of experience in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Technical proficiency in Python and SQL
• Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields.
• Strong communication and collaboration skills; growth mindset.
• Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role.

Nice To Haves

• Familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus.
• 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

• Support the Head of IRRBB in executing risk oversight strategy.
• Develop analytics and automation using Python and SQL.
• Monitor IRRBB exposures and validate adherence to limits.
• Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
• Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
• Contribute to CCAR processes, regulatory reviews, and governance forums.
• 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.
• Conducts on-going communication with model owners and model developers during the course of the review.
• Works with large data to create models.
• Performs the most complex 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.

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; 8 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.
• To learn more about these and other programs, including benefits for full time and part-time employees, visit Your PNC Total Rewards .

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level