Quantitative Analytics and Model Consultant Senior - Asset Liability Management

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 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.

• 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 ongoing communication with model owners and model developers during the review.
• Performs the most complex qualitative and quantitative assessments on all aspects of models, including theoretical aspects, model design and implementation, 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.

• 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, Poly Paths, and Murex is a plus.
• Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields.
• Strong communication and collaboration skills; growth mindset.

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

Bank Quantitative Analysis, Consulting, Data Gathering and Reporting, Effective Communications, Predictive Analytics, Quantitative Techniques, Regulatory Environment - Financial Services, Testing

• Roles at this level typically require a university / college degree; higher level education such as a Masters degree, PhD, or certifications is desirable.
• Industry relevant experience is typically 8+ years.
• In lieu of a degree, a comparable combination of education, job-specific certification(s), and experience (including military service) may be considered.
• Education:
  
  Bachelors.
• Certifications:
  
  None required.
• Licenses:
  None required.

Base Salary: $80,000.00 – $. Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and/or individual performance.

PNC offers a comprehensive range of benefits to help meet your needs now and in the future, including medical/prescription drug coverage (with a Health Savings Account feature), dental and vision options; employee and spouse/child life insurance; short and long-term disability protection; 401(k) with PNC match, pension and stock purchase plans; dependent care reimbursement account; back-up child/elder care; adoption, surrogacy, and doula reimbursement;

educational assistance; a robust wellness program with financial incentives. Paid time off includes maternity and/or…