Quantitative Analytics & Model Consultant Senior - Capital Markets Models

PNC•Tysons, VA

4d•$112,000 - $249,600•Onsite

About The Position

As a Quantitative Analytics and Modeling Consultant Senior Validator within PNC's Model Risk Management organization, you can be based in Pittsburgh, PA / New York City / Tysons Corner, VA. We are seeking a Senior Validator to join PNC’s Model Risk Management team within Independent Risk Management. 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.

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; Specific responsibilities 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 form clear, well-supported conclusions regarding model strengths and limitations; (v) maintain ongoing communication with model stakeholders such as developers, owners, and reviewers; and (vi) 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.

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.