Quantitative Analytics and Model Group Manager

PNC Bank • Pittsburgh, PA

1d • $100,000 - $261,950

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 Group Manager within PNC's Model Risk Management organization, you will be based in Pittsburgh, PA, New York City or Tysons Corner, VA. We are seeking a highly skilled and hands-on Model Validation Manager 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 combines strategic oversight with hands-on validation, managing a small team (2-3 validators) and providing expert oversight. The role will also lead reviews of the most complex and high-impact models. Responsibilities cover some of PNC’s most important models, including interest rate models, derivative pricing models, Value at Risk (VaR), and counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA). Job Description Directs strategies, initiatives and activities associated with developing, testing, and/or validation of quantitative models used for important business decisions and policies. Responsible for ensuring robust and comprehensive model review testing and analysis in accordance with all applicable review procedures and lifecycle standards. Establishes strategies and directs the activities needed to develop new model frameworks in support of the line of business. Directs complex qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Confirms the reviews of complex reports and associated quantitative analysis. Validates existing models and assesses model risks. Leads in evaluating identified model risks and reaches conclusions on strengths and limitations of the model. Ensures the preparation and analysis of detailed documents for validation and regulatory compliance. Directs, motivates, develops and manages the performance of the management team and key staff. 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

• 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 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.

Nice To Haves

• Analytical Thinking
• Credit Risks
• Data Analytics
• Financial Analysis
• Model Development
• Operational Risks
• Quantitative Models
• Risk Appetite
• Bank Quantitative Analysis
• Consulting
• Data Gathering and Reporting
• Predictive Analytics
• Quantitative Techniques
• Regulatory Environment - Financial Services
• Testing

Responsibilities

• Hands-On Model Validation: 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.
• Expert Oversight: As the Model Validation Manager, you will 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.
• Stakeholder Collaboration and Communication: 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.

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: Manager