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 Development Group Manager Senior you will be a member of the Independent Risk Management team reporting to PNC’s Chief Model Risk Officer. This position is primarily based in a location within PNC's footprint.

We are seeking an accomplished Senior Validation Manager to lead our Market Risk Model and Counterparty Credit Risk Model Validation team at PNC.

This pivotal role involves overseeing a dedicated team of Ph. D and MA level validators specializing in the rigorous validation of market risk models, including derivative pricing models, Value at Risk (VaR) models, asset and liability models measuring interest rate risk and liquidity, as well as counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA). The Senior Validation Manager will be instrumental in ensuring the accuracy, reliability, and compliance of these critical models with our risk appetite, model risk management framework, and regulatory requirements.

If you are a seasoned validation professional with expertise in market and counterparty risk models and a passion for leadership, we invite you to apply for this challenging and rewarding position at PNC. Join us in shaping the future of risk management and contributing to the success of our organization.

Preferred Qualifications:
•Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a strong stochastic calculus background.
•Extensive experience (10+ years) in market risk and counterparty risk model development and/or validation within the financial services industry.
•Proven leadership skills with the ability to manage and inspire a team of validation professionals.
•In-depth knowledge of regulatory requirements related to market and counterparty credit risk models, including PFE, CVA, FVA, derivative pricing models, VaR models, and interest rate risk and liquidity models.
•Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.

Primary Responsibilities:
•Leadership and Expert Oversight: As the Senior Validation Manager, you will provide leadership and expert oversight for the validation team, guiding them in the independent review of complex market and counterparty risk models. This includes fostering a collaborative and high-performance culture, setting expectations for the team, and providing mentorship to enhance their expertise in the models they validate. The incumbent will be a part of the senior leadership team reporting to the CMRO, providing input on various model risk framework elements, and processes related to the functioning of the team.
•Asset Liability Management, Market and Counterparty Credit Risk Model Validation: Take the lead in the validation of a diverse range of models, assessing methodologies, assumptions, and outcomes. This involves a deep understanding of balance sheet interest rate and liquidity risk, derivative instruments, risk factors, financial market dynamics, and the intricacies of PFE, CVA, and FVA calculations. The Senior Validation Manager will ensure that models accurately capture the inherent risks and comply with PNC’s Model Risk Management Framework.
•Stakeholder Collaboration and Communication: Establish effective relationships with key stakeholders, including risk management teams, model developers, and regulatory bodies. Communicate validation results and insights clearly and concisely to both technical and non-technical audiences. Collaborate with internal departments to enhance validation processes and contribute to the continual improvement of market and counterparty risk management practices within the organization.

Job Description

• Establishes Line of Business vision and strategy, initiatives and activities associated with developing, testing, and/or validation of quantitative models used for important business decisions and policies. Oversees robust and comprehensive model review testing and analysis in accordance with all applicable review procedures and lifecycle standards.
• Creates Line of Business vision and establishes strategies needed to develop new model frameworks.
• Oversees development of new model framework by supporting the line of business. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and