Quantitative Analytics & Model Expert - Market Risk

PNC Bank • Tysons Corner, NY

3d • $100,000 - $254,150 • 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 Expert within PNC's Market Risk organization, you will be based in Pittsburgh PA, New York NY, Cleveland OH or Tysons Corner VA. As a Risk Analytics Quantitative Expert within PNC’s Market Risk organization, you will be based in New York, NY, Pittsburgh, PA, Cleveland, OH, or Tysons Corner, VA. This role will own, develop, and enhance core Market Risk and Counterparty Risk analytics, spanning Value‑at‑Risk (VaR), 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. Job Description 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. 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

• 8+ 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, stress testing, PFE, IRRBB, and FRTB; 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

Nice To Haves

• Practical experience with Numerix, Murex, Bloomberg, and QRM preferred

Responsibilities

• Developing and maintaining VaR, stress, and exposure models used for risk limits, reporting, and regulatory submissions
• Enhancing IRRBB analytics (NII/EVE sensitivities, scenarios, optionality, and hedging effectiveness) and aligning them with ALM and Treasury frameworks
• Supporting FRTB, CCAR, and CECL‑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
• 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

• 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; 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.
• To learn more about these and other programs, including benefits for full time and part-time employees, visit pncthrive.com .

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level