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 Consultant Senior within PNC's Market Risk Oversight organization, you will be based in Pittsburgh, PA, New York City, Cleveland, OH, Washington, DC or Charlotte, NC. This position is primarily based in a PNC location.

This role provides second-line oversight of Interest Rate Risk in the Banking Book, focusing on NII and EVE frameworks. The position requires strong quantitative skills, technical proficiency, and the ability to collaborate across multiple functions.

Responsibilities
· Support the Head of IRRBB in executing risk oversight strategy.
· Develop analytics and automation using Python and SQL.
· Monitor IRRBB exposures and validate adherence to limits.
· Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
· Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
· Contribute to CCAR processes, regulatory reviews, and governance forums.

Qualifications
· 8 years of experience in IRRBB, Market Risk, ALM, or Treasury.
· Strong knowledge of NII and EVE frameworks.
· Technical proficiency in Python and SQL; familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus.
· Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields.
· Strong communication and collaboration skills; growth mindset.

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 existing models and assesses model risks.
• Evaluates identified 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 leverage that information in creating customized customer solutions.
• Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.

Qualifications

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and required certifications/licensures needed to be successful in this position.

Preferred Skills

Analytical Thinking, Credit Risks, Data Analytics, Financial Analysis, Model Development, Operational Risks, Quantitative Models, Risk Appetite

Competencies

Bank Quantitative Analysis, Consulting, Data Gathering and Re