Quantitative Analytics and Model Consultant Senior Validator - Market Risk and Counterparty Ris

Position Overview

As a Senior Validator you will perform rigorous independent reviews of PNC’s most important models including Value at Risk (VaR) models, derivative pricing models, interest rate models, and counter party credit risk measurement models such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA). The role reports to the Senior Validation Manager for Market Risk and Counter party Risk Models and is part of the Independent Risk Management organization.

• Independent Model Review
  • Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing.
  • Assess conceptual soundness and performance of models based on detailed documentation and testing results.
  • Perform independent testing of model assumptions.
  • Use quantitative tools and techniques to measure and analyze model risks.
  • Evaluate identified model risks and reach conclusions on strengths and limitations of the model.
  • Conduct ongoing communication with model stakeholders such as developers, owners, and reviewers.
  • Prepare detailed validation reports for internal/external communications and regulatory compliance using applicable templates.
• Stakeholder Collaboration and Communication
  • Establish effective relationships with key stakeholders, including model owners and developers.
  • Communicate validation results and insights clearly and concisely to both technical and non-technical audiences, including regulatory staff members.
  • Collaborate within the Model Risk Management team to enhance validation processes and contribute to continual improvement of market and counter party risk management practices.

• Master’s or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
• Experience in market risk and counter party risk model development and/or validation within the financial services industry is required.
• Knowledge of regulatory requirements related to market and counter party credit risk models, including derivative pricing models, VaR models, PFE, CVA, and FVA.
• Strong written and verbal communication skills with the ability to convey complex technical concepts to diverse stakeholders.
• Hands‑on experience with Python, R, MATLAB, SQL, and Quant Lib.

PNC offers a comprehensive range of benefits to help meet your needs now and in the future. Depending on 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; and a robust wellness program with financial incentives. PNC also provides paid time off, including maternity and/or parental leave; up to 11 paid holidays each year; 9 occasional absence days each year, unless otherwise required by law; and 15 to 25 vacation days each year, depending on career level and years of service.

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. This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.

If an accommodation is required to participate in the application process, please contact us via email at  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.

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