Quantitative Analytics and Model Consultant Senior Validator - Market Risk and Counterparty Risk Models

PNC•Pittsburgh, PA

5d•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 Modeling Consultant Senior Validator within PNC's Model Risk Management organization, you can be based in Pittsburgh, PA. This position is primarily based in a PNC location. Responsibilities require time in the office or in the field on a regular basis. Some responsibilities may be performed remotely, at manager’s discretion. We are seeking a Senior Validator to be a part of our Model Risk Management team at PNC. The position reports to the Senior Validation Manager for Market Risk and Counterparty Risk Models and is part of the Independent Risk Management organization. As a senior validator you will perform rigorous independent reviews of some of PNC’s most important models including Value at Risk (VaR) models, derivative pricing models, interest rate models, and counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA).

Requirements

Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
Experience in market risk and counterparty risk model development and/or validation within the financial services industry is required.
Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivative pricing models, VaR models, PFE, CVA, FVA.
Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
Hands-on experience with Python, R, MATLAB, SQL, and QuantLib.
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.
Bank Quantitative Analysis
Consulting
Data Gathering and Reporting
Effective Communications
Predictive Analytics
Quantitative Techniques
Regulatory Environment - Financial Services
Testing
Industry relevant experience is typically 8+ years.
This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.

Nice To Haves

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

Responsibilities

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.
Use quantitative tools and techniques to measure and analyze model risks.
Evaluate identified model risks and reach conclusions on strengths and limitations of the model.
Conduct on-going communication with model stakeholders such as developers, owners and reviewers.
Prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.
Establish 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 market and counterparty risk management practices within the organization.
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.
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.
Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.

Benefits

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
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