Quantitative Analytics & Model Consultant Senior - Market Risk

PNC•Washington, DC

2d•$112,000 - $249,600•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 & Model Consultant Senior within PNC's Market Risk Management organization, you will be based in New York, NY, Pittsburgh, PA, Cleveland, OH, Washington, D.C., or another approved PNC location. This role will develop and enhance core Market Risk and Counterparty Risk analytics, focusing on Value at Risk (VaR) models but also spanning Potential Future Exposure (PFE), and Interest Rate Risk in the Banking Book (IRRBB). The position plays a critical role in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across both trading and balance sheet activities. The successful candidate will work closely with Market Risk Management, Model Validation, Treasury, Asset & Liability Management (ALM), Finance, and the Capital Markets Group to provide independent quantitative review, effective challenge, and model governance, ensuring that methodologies, assumptions, and limitations are well understood and fit for purpose. This is a high visibility role reporting directly to the Head of Market Risk Analytics.

Requirements

6+ years of industry experience in market risk analytics, quantitative modeling, or front office/trading analytics
Strong understanding of market risk and counterparty risk frameworks, including VaR, FRTB, and PFE; CCAR and CECL experience is a plus
Strong programming skills in Python for model implementation, data analysis, and automation
Ability to work hands on, independently, manage multiple priorities, and deliver under tight deadlines
Bachelors
Analytical Thinking
Credit Risks
Data Analytics
Financial Analysis
Model Development
Operational Risks
Quantitative Models
Risk Appetite
Bank Quantitative Analysis
Consulting
Data Gathering and Reporting
Effective Communications
Predictive Analytics
Quantitative Techniques
Regulatory Environment - Financial Services
Testing

Nice To Haves

CCAR and CECL experience is a plus
Practical experience with Murex and Bloomberg preferred
Higher level education such as a Masters degree, PhD, or certifications is desirable.
Industry relevant experience is typically 8+ years.

Responsibilities

Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions
Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies.
Supporting FRTB related analytics, including methodology development, benchmarking, and model impact assessments
Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet
Partnering with Model Risk Management to support model validation, audits, and regulatory reviews
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.