Risk Analytics Quantitative Expert Senior

PNC•Washington, DC

1d•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 Risk Analytics Quantitative Expert Senior within PNC’s Market Risk organization, you will be based in New York, NY, Pittsburgh, PA, Cleveland, OH, Washington, D.C., or another PNC location. This role will own, develop, and enhance core Market Risk and Counterparty Risk analytics, focusing on Potential Future Exposure (PFE) but also spanning Value at Risk (VaR), 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

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 PFE, VaR, stress testing, 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
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
Bachelors degree
8+ years of industry experience

Nice To Haves

Practical experience with Numerix, Murex, and Bloomberg preferred
CCAR and CECL experience is a plus

Responsibilities

Developing and maintaining PFE, 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
Establishes Line of Business vision and strategy, initiatives and activities associated with building, testing, and/or validation of quantitative models used for important business decisions and policies.
Oversees robust and comprehensive model review testing and quantitative analysis in accordance with all applicable review procedures and lifecycle standards.
Creates Line of Business vision and establishes strategies needed to develop new model frameworks.
Oversees the most complex qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity.
Grants Line of Business approval on the reviews of complex 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.
Reviews and approves 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.

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