Risk Analytics Quantitative Expert Senior

Requirements

• 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 p

Additional Information

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 Risk Analytics Quantitative Expert Senior within PNC's Market Risk organization, you will be based in New York, NY, Pittsburgh, PA, Cleveland, OH, Washington, D.C., or another PNC location. This role will own, develop, and enhance core Market Risk and Counterparty Risk analytics, focusing on Potential Future Exposure (PFE) but also spanning Value at Risk (VaR), and Interest Rate Risk in the Banking Book (IRRBB). The position plays a critical role in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across both trading and balance sheet activities. The successful candidate will work closely with Market Risk Management, Model Validation, Treasury, Asset & Liability Management (ALM), Finance, and the Capital Markets Group to provide independent quantitative review, effective challenge, and model governance, ensuring that methodologies, assumptions, and limitations are well understood and fit for purpose. This is a high visibility role reporting directly to the Head of Market Risk Analytics. Key responsibilities include: - Developing and maintaining PFE, VaR, stress, and exposure models used for risk limits, reporting, and regulatory submissions - Enhancing IRRBB analytics (NII/EVE sensitivities, scenarios, optionality, and hedging effectiveness) and aligning them with ALM and Treasury frameworks - Supporting FRTB, CCAR, and CECL related analytics, including methodology development, benchmarking, and model impact assessments - Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet - Partnering with Model Risk Management to support model validation, audits, and regulatory reviews Preferred skills and experience include: - 8+ years of industry experience in market risk analytics, quantitative modeling, or front office/trading analytics - Strong understanding of market risk and counterparty risk frameworks, including PFE, VaR, stress testing, IRRBB, and FRTB; CCAR and CECL experience is a plus - Strong programming skills in Python for model implementation, data analysis, and automation - Ability to work hands on, independently, manage multiple priorities, and deliver under tight deadlines - Practical experience with Numerix, Murex, and Bloomberg preferred 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 Establishes Line of Business vision and strategy, initiatives and activities associated with building, testing, and/or validation of quantitative models used for important business decisions and policies. Oversees robust and comprehensive model review testing and quantitative 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 the most complex qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Grants Line of Business approval on the reviews of complex 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. Reviews and approves the preparation and analysis of detailed documents for validation and regulatory compliance. Directs, motivates, develops and manages the performance of the management team and key staff. 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.

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