Quantitative Analytics and Model Consultant Senior - Capital Markets Models

Location: Tysons Corner

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 Consultant Senior within PNC's Model Risk Management organization, you will be based in Pittsburgh, PA / Tysons Corner, VA / New York City.

As a senior validator, you will perform rigorous independent reviews of PNC's Capital Markets models, including derivatives pricing models, Value-at-Risk (VaR) models, and counter party credit risk models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA), and related interest rate and term structure models used in pricing and risk measurement.

Key Responsibilities include, but not limited to:

1. 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;
Specific responsibilities include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results; (ii) perform independent testing of model assumptions; (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and form clear, well-supported conclusions regarding model strengths and limitations; (v) maintain ongoing communication with model stakeholders such as developers, owners, and reviewers;

and (vi) prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates.

2. Stakeholder Collaboration and Communication:
Establish and maintain effective working relationships with key stakeholders, including model owners and model 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 the continual improvement of model risk management practices within the organization.

Performance Expectations:

This role requires exceptional attention to detail and a strong commitment to producing accurate, well-documented, and high-quality work under tight timelines. The successful candidate must be capable of managing multiple concurrent tasks and projects, prioritizing effectively while maintaining consistency, rigor, and precision across deliverables. The ability to deliver results within compressed time frames, without compromising analytical quality, is critical to success in this role.

Qualifications:

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

* 8+ years of experience within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counter party credit risk.

* Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders.

* Knowledge of regulatory requirements related to market and counter party credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA.

* Hands-on experience with Python; experience with Quant Lib or other derivatives pricing libraries is preferred.

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

* Independently performs the most…