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 & Model Consultant Senior within PNC's Market Risk Management organization, you will be based in Pittsburgh, PA / Charlotte, NC / New York City / Cleveland, OH / Washington, DC / Buffalo, NY / Chicago, IL / Houston, TX, or another approved PNC location.

This role will develop and enhance core Market Risk and Counterparty Risk analytics, focusing on Value at Risk (VaR) models but also spanning Potential Future Exposure (PFE), and Interest Rate Risk in the Banking Book (IRRBB). The position plays a critical role in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across both trading and balance sheet activities.

The successful candidate will work closely with Market Risk Management, Model Validation, Treasury, Asset & Liability Management (ALM), Finance, and the Capital Markets Group to provide independent quantitative review, effective challenge, and model governance, ensuring that methodologies, assumptions, and limitations are well understood and fit for purpose. This is a high visibility role reporting directly to the Head of Market Risk Analytics.

Key responsibilities include:
• Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions
• Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies.
• Supporting FRTB related analytics, including methodology development, benchmarking, and model impact assessments
• Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet
• Partnering with Model Risk Management to support model validation, audits, and regulatory reviews

Preferred skills and experience include:
• 6+ years of industry experience in market risk analytics, quantitative modeling, or front office/trading analytics
• Strong understanding of market risk and counterparty risk frameworks, including VaR, FRTB, and PFE; CCAR and CECL experience is a plus
• Strong programming skills in Python for model implementation, data analysis, and automation
• Ability to work hands on, independently, manage multiple priorities, and deliver under tight deadlines
• Practical experience with Murex and Bloomberg 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 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 en