Quantitative Analytics and Model Expert - Asset Liability Management

** 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 Quantitative Analytics and Model Expert within PNC's Market Risk Oversight organization, you will be based in Pittsburgh, PA.

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.

Responsibilities

· 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.

Qualifications

· 8 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.

PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance. We encourage candidates to connect with their recruiter and hiring manager to understand workplace expectations and ensure the role aligns with their goals.

PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

** 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:

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** 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.

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** 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…