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PNC · 13 hours ago

Quantitative Analytics and Model Consultant - Asset & Liability Management and Treasury Models

PA - Pittsburgh (15222)

Full-time

Onsite

Mid, Senior Level

$65K/yr - $179K/yr

5+ years exp

PNC is a leading financial services organization dedicated to delivering exceptional customer experiences. They are seeking a Quantitative Analytics and Model Consultant to conduct independent reviews of Asset and Liability Management and Treasury models, focusing on managing interest rate and liquidity risks while supporting regulatory compliance.

BankingFinanceFinancial Services

No H1B

Responsibilities

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

Assess conceptual soundness and performance of models based on detailed model documentation and testing results

Perform independent testing of model assumptions

Apply quantitative tools and techniques to measure and analyze model risks

Evaluate identified model risks and provide clear conclusions on model strengths and limitations

Maintain ongoing communication with model stakeholders such as developers, owners and reviewers

Prepare comprehensive validation reports for internal/external communications and/or regulatory compliance, using applicable templates

Stakeholder Collaboration and Communication: Build 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 model risk management practices within the organization

Qualification

Quantitative AnalysisModel DevelopmentALMTreasury ModelsPythonData AnalyticsRisk ManagementAnalytical ThinkingCommunication Skills

Required

Master's or Ph.D. in a quantitative field such as Finance, Statistics, Physics, Mathematics, or a related discipline with a stochastic calculus background

Experience in ALM and Treasury 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

Roles at this level typically require a university / college degree, with 5+ years of industry-relevant experience