Quantitative Analytics and Model Expert - Asset Liability Management

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 and Model Expert within PNC's Market Risk Oversight organization, you will be based in Pittsburgh, PA / Charlotte, NC / New York City / Cleveland, OH / Washington, DC / Buffalo, NY / Chicago, IL / Houston, TX.

This role provides second-line oversight of Interest Rate Risk in the Banking Book, focusing on NII and EVE frameworks. The position requires strong quantitative skills, technical proficiency, and the ability to collaborate across multiple functions. PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance.

• Support the Head of IRRBB in executing risk oversight strategy.
• Develop analytics and automation using Python and SQL.
• Monitor IRRBB exposures and validate adherence to limits.
• Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
• Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
• Contribute to CCAR processes, regulatory reviews, and governance forums.
• 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.

• 5+ years of experience in IRRBB, Market Risk, ALM, or Treasury.
• Strong knowledge of NII and EVE frameworks.
• Technical proficiency in Python and SQL; familiarity with QRM, Aladdin, Poly Paths, and Murex is a plus.
• Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields.
• Strong communication and collaboration skills; growth mindset.

• 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.

• Bachelors
  
  Certifications:
  
  No Required Certification(s).
• Licenses:
  No Required License(s).

Base Salary: $ - $ Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and/or individual performance.

Generally, this opening is expected to be posted for…