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 organization, you will be based in either Pittsburgh, PA or New York, NY.

Role Overview
We are seeking a highly accomplished risk professional with deep expertise in Counterparty Credit Risk Analytics, responsible for firm critical metrics including Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), Value at Risk (VaR), and Risk Weighted Assets (RWA).

This is a visible, strategic role operating at the intersection of market, model, and credit risk. The successful candidate will play a central role in delivering robust risk measurement, supporting regulatory compliance, and providing effective oversight of capital markets derivatives activities. The position partners closely with various senior stakeholders across the organization and reports directly to the Head of Capital Markets and CVA Risk Oversight.
This role is also critical to supporting the growth of the Capital Markets platform, including enabling the expansion of the firm’s derivatives offering into new products.

Key responsibilities include
• Ensure the integrity, accuracy, and robustness of PFE, CVA, FVA, and VaR model inputs and outputs
• Perform ad hoc PFE and CVA analyses, applying a strong understanding of market risk and counterparty credit risk
• Design and develop prototype data feeds for the PFE engine (including payoffs, counterparty data, and market data) using Python and SQL
• Partner with Technology to industrialize and productionize PFE prototypes
• Onboard new products into the PFE framework, including specifications, model adequacy assessments, and testing
• Collaborate with model developers and external vendors on new product implementations and model specifications
• Work closely with model developers and model validators on metric back testing and ongoing performance monitoring
• Develop testing frameworks for new product onboardings and model releases
• Partner with Credit Risk and Finance to support interpretation and understanding of PFE exposures
• Lead prioritization and coordination efforts with external vendors
• Drive automation initiatives across the PFE scope to enhance efficiency and scalability
• Support Traders and Sales with counterparty exposure metrics and pre deal checks

Required skills and experience
• 8+ years of experience in market risk and counterparty credit risk analytics, with deep hands on expertise in PFE, CVA, and VaR
• Strong derivatives knowledge
• Strong command of risk frameworks and regulatory capital methodologies, including VaR, stress testing, SACCR, and SACVA
• Advanced Python and SQL skills for data analysis, prototyping, and automation
• Demonstrated ability to operate hands on, manage competing priorities, and deliver high quality outcomes under tight deadlines
• Experience with Numerix and/or Murex strongly preferred
• Proven ability to communicate complex risk concepts clearly to senior management and cross functional partners
• Proven ability to make an impact in prior roles
• Strong team player

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 exi