Quantitative Analytics and Model Consultant Senior - Capital Markets Models
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 Model Risk Management organization, you will be based in Pittsburgh, PA / Tysons Corner, VA / New York City. As a senior validator, you will perform rigorous independent reviews of PNC’s Capital Markets models, including derivatives pricing models, Value-at-Risk (VaR) models, and counterparty credit risk models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA), and related interest rate and term structure models used in pricing and risk measurement. This role requires exceptional attention to detail and a strong commitment to producing accurate, well-documented, and high-quality work under tight timelines. The successful candidate must be capable of managing multiple concurrent tasks and projects, prioritizing effectively while maintaining consistency, rigor, and precision across deliverables. The ability to deliver results within compressed timeframes, without compromising analytical quality, is critical to success in this role. 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.
Requirements
- Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background
- 8+ years of experience within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counterparty credit risk
- Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders
- Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA
- Hands-on experience with Python
Nice To Haves
- experience with QuantLib or other derivatives pricing libraries is preferred
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 form clear, well-supported conclusions regarding model strengths and limitations
- Maintain ongoing communication with model stakeholders such as developers, owners, and reviewers
- Prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates
- Establish and maintain effective working 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
- 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
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What This Job Offers
Job Type
Full-time
Career Level
Senior
