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 and Model Validator within PNC's Model Risk Management organization, you will be based in New York City.

We are seeking a Validator to be a part of our Model Risk Management team at PNC. The position reports to the Senior Validation Manager for Market Risk and Counterparty Risk Models and is part of the Independent Risk Management organization.

As a validator you will assist with the rigorous independent reviews of some of PNC’s most important models including asset and liability models used to manage interest rate risk and liquidity risk, Value at Risk (VaR) models, derivative pricing models, and counterparty credit risk measurement models, such as Potential Future Exposure (PFE) and Credit Valuation Adjustment (CVA).

Key Responsibilities:

1. 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: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results (ii) perform independent testing of model assumptions (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and reach conclusions on strengths and limitations of the model; (v) conduct on-going communication with model stakeholders such as developers, owners and reviewers; and (vi) prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.

2. 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 market and counterparty risk management practices within the organization.


Qualifications:

- Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
- Experience in market risk or counterparty risk model development and/or validation within the financial services industry is highly desired.
- Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
- Hands-on experience with one or more of Python, R, MATLAB, SQL, and QuantLib.

PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

Job Description

• Independently performs advanced quantitative analyses and model development to drive decision-making by running quantitative strategies. Makes recommendations based on analyses.
• Analyzes and develops new model frameworks by supporting the line of business. Refines, monitors, and reviews existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with larger, more complex datasets to create models.
• Performs quantitative analysis and develops complex reports. Performs qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Analyzes complex data and associated quantitative analysis. Makes recommendations based on findings from data analytics.
• Uses quantitative tools and techniques to measure and analyze 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 leverag