Position Overview

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 Quantiative Analytics/Modeling Consultant Sr. within PNC's Market Risk Management organization, you will be based in Pittsburgh, PA or Tysons Corner, VA. Additional locations may be considered for well-qualified candidates.

We are seeking an accomplished Model Developer to develop and maintain our Market Risk and Counterparty Credit Risk Models. The role involves developing and maintaining counterparty credit risk measurement models such as Potential Future Exposure (PFE) and Standard Initial Margin Model (SIMM), market risk Value at Risk (VaR) models on various trading/fair value hedging portfolios (such as hedging portfolios on Mortgage Servicing Rights (MSR), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA)), and asset and liability models measuring interest rate risk (such as deposit decay and pricing models, securities analytics). The incumbent will be responsible for ensuring the accuracy, reliability, and compliance of these critical models with PNC’s model risk management framework, and regulatory requirements.

If you are a seasoned quantitative professional with expertise in market and counterparty credit risk models, we invite you to apply for this challenging and rewarding position at PNC. Join us in shaping the future of risk management and contributing to the success of our organization.

Preferred Qualifications:

• Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a strong stochastic calculus background.

• Extensive experience in market risk and counterparty risk model development and/or validation within the financial services industry.

• In-depth knowledge of modeling methodology and derivative products related to market and counterparty credit risk models, including PFE/SIMM, derivative pricing models, VaR models on CVA/MSR and other complex portfolios, and balance sheet (deposit and investment securities) valuation models.

• Knowledge of regulatory requirements related to market and counterparty risk (Market Risk Capital Rule (MRR), Fundamental Review of Trading Book (FRTB), Uncleared Margin Rules (UMR), and CVA Capital (SA/BA-CVA)) strongly desired.

• Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.

Primary Responsibilities:

1.) Asset Liability Management, Market and Counterparty Credit Risk Model Development and Maintenance:

• Develop a diverse range of models, test methodologies and assumptions and review outcomes to improve model performance.

-Evaluate model risks across different methodologies and reach conclusions on strengths and limitations of the chosen model methodology.

• Monitor the performance of existing models and make necessary enhancements to ensure models accurately capture the inherent risks and satisfy business needs

• This involves a deep understanding of balance sheet interest rate risk, derivative instruments, risk factors, financial market dynamics, and the intricacies of PFE, MSR, CVA, and FVA valuations.

2.) Stakeholder Collaboration and Communication:

• Communicate model methodology, development progress, results and insights clearly and concisely to key stakeholders, including fellow developers, model owners/risk management teams, model validators, relevant business committees, and regulatory bodies.

• Prepare detailed documentation on the model methodology and outcomes in compliance with PNC’s Model Risk Management Framework

• Shepherd the models/updates through independent model validation, auditing, and regulatory reviews.

Job Description

• 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.

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.

Qualifications

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and required certifications/licensures needed to be successful in this position.

Preferred Skills

Analytical Thinking, Credit Risks, Data Analytics, Financial Analysis, Model Development, Operational Risks, Quantitative Models, Risk Appetite

Competencies

Bank Quantitative Analysis, Consulting, Data Gathering and Reporting, Effective Communications, Predictive Analytics, Quantitative Techniques, Regulatory Environment - Financial Services, Testing

Work Experience

Roles at this level typically require a university / college degree. Higher level education such as a Masters degree, PhD, or certifications is desirable. Industry relevant experience is typically 8+ years. Specific certifications are often required. In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered.

Education

Bachelors

Certifications

No Required Certification(s)

Licenses

No Required License(s)

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 pncbenefits.com > New to PNC.

*For more information, please click on the following links:

Time Away from Work (https://www.pncbenefits.com/timeaway.html)

PNC Full-Time Benefits Summary

PNC Part-Time Benefits Summary (https://www.pncbenefits.com/ft-benefits-overview.html)

Disability Accommodations Statement

If an accommodation is required to participate in the application process, please contact us via email at AccommodationRequest@pnc.com . Please include “accommodation request” in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email. Emails not related to accommodation requests will not receive responses. Applicants may also call 877-968-7762 and say "Workday" for accommodation assistance. All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.

At PNC we foster an inclusive and accessible workplace. We provide reasonable accommodations to employment applicants and qualified individuals with a disability who need an accommodation to perform the essential functions of their positions.

Equal Employment Opportunity (EEO)

PNC provides equal employment opportunity to qualified persons regardless of race, color, sex, religion, national origin, age, sexual orientation, gender identity, disability, veteran status, or other categories protected by law.

California Residents

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