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 Model Validation Expert within PNC's Model Risk organization, you will be based at a location within the PNC Footprint. The position reports to the Senior Validation Manager for Commercial Credit and Financial Valuation Models and is part of the Independent Risk Management organization.

This role involves performing rigorous independent reviews, as well as providing expert oversight, of some of PNC’s most important models including C&I and CRE loss forecasting models, retail commercial loss forecasting models, Loss Given Default and Exposure at Default models. This role also participates at and provide individual and aggregate model risk assessment in various governance committee meetings covering credit reserve (ACL), commercial model approval and model strategy discussions.

Key Responsibilities Include:

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 duties include: assess conceptual soundness and performance of models based on detailed model 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 on-going communication with model stakeholders such as developers, owners and reviewers; and prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.

Expert Oversight: As the Model Validation Expert, you will act as subject area expert and provide oversight for the models within the assigned subject area(s). You will lead other validators in validation projects with guidance on the independent review of the models and ensure that validation work is performed in accordance with the model risk management framework.

Stakeholder Collaboration and Communication: Establish effective 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 credit and counterparty risk management practices within the organization.

Preferred Qualifications Include:

-Master's or Ph.D. in a quantitative field such as Economics, Finance, Mathematics, or a related discipline with strong statistical and econometric training.

- 10+ years’ experience in financial and credit risk model development and/or validation within the financial services industry is required.

- Knowledge of regulatory requirements related to credit risk models, including commercial credit loss forecasting, commercial credit management, and model risk management practices (OCC 11-12/FR11-7)

- Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.

- Hands-on experience in programming languages such as Python, R, SAS, and SQL.

This is a remote position. Work may be performed from a quiet, confidential space in a home location, approved by PNC. This position may not be available in all geographic locations.

Job Description

• Directs strategies, initiatives and activities associated with developing, testing, and/or validation of quantitative models used for important business decisions and policies. Responsible for ensuring robust and comprehensive model review testing and analysis in accordance with all applicable review procedures and lifecycle standards.
• Establishes strategies and directs the activities needed to develop ne