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 Quantiative Analytics/Modeling Consultant Sr. within PNC's Market Risk Management organization, you will be based in Pittsburgh, PA or Tysons Corner, VA. Additional locations may be considered for well-qualified candidates.

We are seeking an accomplished Model Developer to develop and maintain our Market Risk and Counterparty Credit Risk Models. The role involves developing and maintaining counterparty credit risk measurement models such as Potential Future Exposure (PFE) and Standard Initial Margin Model (SIMM), market risk Value at Risk (VaR) models on various trading/fair value hedging portfolios (such as hedging portfolios on Mortgage Servicing Rights (MSR), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA)), and asset and liability models measuring interest rate risk (such as deposit decay and pricing models, securities analytics). The incumbent will be responsible for ensuring the accuracy, reliability, and compliance of these critical models with PNC’s model risk management framework, and regulatory requirements.

If you are a seasoned quantitative professional with expertise in market and counterparty credit risk models, 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 in market risk and counterparty risk model development and/or validation within the financial services industry.
• In-depth knowledge of modeling methodology and derivative products related to market and counterparty credit risk models, including PFE/SIMM, derivative pricing models, VaR models on CVA/MSR and other complex portfolios, and balance sheet (deposit and investment securities) valuation models.
• Knowledge of regulatory requirements related to market and counterparty risk (Market Risk Capital Rule (MRR), Fundamental Review of Trading Book (FRTB), Uncleared Margin Rules (UMR), and CVA Capital (SA/BA-CVA)) strongly desired.
• Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.

Primary Responsibilities:

1.) Asset Liability Management, Market and Counterparty Credit Risk Model Development and Maintenance:

- Develop a diverse range of models, test methodologies and assumptions and review outcomes to improve model performance.
-Evaluate model risks across different methodologies and reach conclusions on strengths and limitations of the chosen model methodology.
- Monitor the performance of existing models and make necessary enhancements to ensure models accurately capture the inherent risks and satisfy business needs
- This involves a deep understanding of balance sheet interest rate risk, derivative instruments, risk factors, financial market dynamics, and the intricacies of PFE, MSR, CVA, and FVA valuations.

2.) Stakeholder Collaboration and Communication:

- Communicate model methodology, development progress, results and insights clearly and concisely to key stakeholders, including fellow developers, model owners/risk management teams, model validators, relevant business committees, and regulatory bodies.
- Prepare detailed documentation on the model methodology and outcomes in compliance with PNC’s Model Risk Management Framework
- Shepherd the models/updates through independent model validation, auditing, and regulatory reviews.

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 exi