Quantitative Analytics and Model Expert - Capital Markets

PNC•Stamford, CT

6d•$159,600 - $296,400•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 Expert within PNC's Model Risk Management organization, you will be based in Stamford, CT. We are seeking an accomplished Model Validation Expert 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. This role involves performing rigorous independent reviews, as well as providing expert oversight, of some of PNC’s most important models including asset and liability models measuring interest rate risk and liquidity, Value at Risk (VaR) models, derivative pricing models, interest rate models, securities valuation 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 PFE, CVA, FVA, derivative pricing models, VaR models.
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.

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; Specific duties include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results (ii) perform independent testing of model assumptions (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and reach conclusions on strengths and limitations of the model; (v) conduct on-going communication with model stakeholders such as developers, owners and reviewers; and (vi) prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.
Provide expert oversight for the models within the assigned subject area(s), providing validators with guidance on the independent review of the models and ensuring that validation work is performed in accordance with the model risk management framework.
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.
Provides strategic and analytical insights around quantitative analyses, processes, and validations.
Reviews complex quantitative analyses and models and engages with the Line of Business to enhance model development by incorporating business feedback.
Oversees the development of new model frameworks by supporting the line of business and provides consultative feedback around improvements.
Reviews any recommended changes to existing models.
Conducts executive level communication during the course of the review.
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 and provides analytical insight into potential areas of improvement.
Reviews validation of existing models and assesses model risks.
Reviews the evaluations of identified model risks and provides high level consultation around recommended conclusions on strengths and limitations of the model.
Provides consultative feedback around the preparation and analysis of regulatory compliance documents.

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