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Jobs · Information Technology · Connecticut

Quantitative Analytics and Model Expert - Capital Markets

PNC · Stamford, CT · 1 mo ago
On-siteInformation Technology$160k–$296k/yrFull-time

About the Role

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We work together to foster an inclusive workplace culture where all employees feel respected, valued, and have an opportunity to contribute to the company’s success. As a Quantitative Analytics and Model Expert within PNC's Model Risk Management organization, you will perform rigorous independent reviews and provide expert oversight of PNC’s most important models, including asset and liability models, Value at Risk (VaR) models, derivative pricing models, interest rate models, securities valuation models, and counterparty credit risk measurement models such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA). This role reports to the Senior Validation Manager for Market Risk and Counterparty Risk Models and is part of the Independent Risk Management organization.

Responsibilities

  • Perform qualitative and quantitative assessments 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.
  • Conduct independent testing of model assumptions using quantitative tools and techniques to measure and analyze model risks.
  • Evaluate identified model risks and reach conclusions on strengths and limitations of the model.
  • Engage in ongoing communication with model stakeholders such as developers, owners, and reviewers.
  • Prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance.
  • Provide expert oversight for models within assigned subject areas, guiding validators to ensure work aligns with the model risk management framework.
  • Establish effective relationships with key stakeholders, including model owners and developers.
  • Communicate validation results and insights clearly to both technical and non-technical audiences, including regulatory staff.
  • Collaborate within the Model Risk Management team to enhance validation processes and improve market and counterparty risk management practices.
  • Review complex quantitative analyses and models, incorporating business feedback to enhance model development.
  • Oversee the development of new model frameworks and provide consultative feedback on improvements to existing models.
  • Conduct executive-level communication during model reviews.
  • Review reports and associated quantitative analysis, providing analytical insight into potential areas of improvement.
  • Assess model risks and provide high-level consultation on recommended conclusions regarding model strengths and limitations.
  • Provide consultative feedback on the preparation and analysis of regulatory compliance documents.

Requirements

  • Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
  • Experience in market risk and counterparty risk model development and/or validation within the financial services industry.
  • Knowledge of regulatory requirements related to market and counterparty credit risk models, including PFE, CVA, FVA, derivative pricing models, and VaR models.
  • Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
  • Hands-on experience with Python, R, MATLAB, SQL, and QuantLib.

Benefits

  • 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, including select fully paid programs.
  • Robust wellness program with financial incentives.
  • Paid time off, including maternity and/or parental leave, up to 11 paid holidays, 9 occasional absence days, and 15 to 25 vacation days per year depending on career level and years of service.

Pay

Base Salary: $159,600.00 – $296,400.00. Salaries may vary based on geographic location, market data, and individual skills, experience, and education. This role is incentive eligible, with payment based on company, business, and/or individual performance.

PNC is an in-office company and does not provide sponsorship for employment visas or participate in STEM OPT for this position.

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