Quantitative Analytics and Model Consultant Senior - Capital Markets Models

PNC Bank•Tysons Corner, VA

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 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. PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance. We encourage candidates to connect with their recruiter and hiring manager to understand workplace expectations and ensure the role aligns with their goals. PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position. 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
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