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PNC · 1 month ago

Quantitative Analytics and Model Consultant Senior - Asset Liability Management

Pittsburgh, PA

Full-time

Onsite

Senior Level, Lead/Staff

$80K/yr - $209K/yr

8+ years exp

PNC is a financial services company that prioritizes its people as its greatest differentiator. The role of Quantitative Analytics and Model Consultant Senior involves providing oversight of Interest Rate Risk in the Banking Book, utilizing strong quantitative skills and technical proficiency to develop analytics and automation, and collaborating with various stakeholders.

BankingFinanceFinancial Services

No H1B

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

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

Qualification

IRRBBMarket RiskPythonSQLNIIEVE frameworksModel DevelopmentData AnalyticsAnalytical ThinkingQuantitative ModelsRisk AppetiteCollaborationCommunication