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About the Role

As a senior validator within PNC's Model Risk Management organization, you will perform rigorous independent reviews of PNC’s Capital Markets models, including derivatives pricing models, Value-at-Risk (VaR) models, and counterparty credit risk models. You will assess conceptual soundness and performance, perform independent testing of model assumptions, use quantitative tools to measure model risks, and evaluate identified model risks to form clear conclusions regarding model strengths and limitations. You will also maintain communication with model stakeholders and prepare comprehensive validation reports.

Responsibilities

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.
Use quantitative tools and techniques to measure and analyze model risks.
Evaluate identified model risks and form clear, well-supported conclusions regarding model strengths and limitations.
Maintain ongoing communication with model stakeholders such as developers, owners, and reviewers.
Prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates.
Establish and maintain effective working 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.
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.

Requirements

Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
8+ years of experience within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counterparty credit risk.
Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders.
Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA.
Hands-on experience with Python.
Experience with QuantLib or other derivatives pricing libraries is preferred.
Must be capable of managing multiple concurrent tasks and projects, prioritizing effectively while maintaining consistency, rigor, and precision across deliverables.
Ability to deliver results within compressed timeframes, without compromising analytical quality, is critical to success in this role.

Skills

Derivatives pricing
Value-at-Risk (VaR)
Counterparty credit risk
Potential Future Exposure (PFE)
Credit Valuation Adjustment (CVA)
Funding Valuation Adjustment (FVA)
Interest rate models
Term structure models
Quantitative analysis
Model validation
Data quality
Theoretical assumptions
Methodologies
Performance testing
Model documentation
Model risk
Python
QuantLib
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

Location

Pittsburgh, PA
Tysons Corner, VA
New York City

Work Type

In-office

Experience Level

8+ years

Education Level

Master's or Ph.D.
Bachelors

Salary/Compensations

$80,000.00 – $209,300.00

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 programs fully paid
Robust wellness program with financial incentives
Maternity and/or parental leave
Up to 11 paid holidays each year
9 occasional absence days each year
Between 15 to 25 vacation days each year, depending on career level and years of service

About the Company

PNC's people are their greatest differentiator and competitive advantage in the markets they serve.
They are all united in delivering the best experience for their customers.
They work together each day to foster an inclusive workplace culture where all employees feel respected, valued and have an opportunity to contribute to the company’s success.
For nearly 160 years, PNC has strived to make a meaningful impact for its employees, customers, communities, and shareholders.
They believe their success and positive reputation are built on open and honest dialogue, an unwavering focus on smart risk management, relationship-based customer service and community investments.
Their inclusive workplace allows employees to be heard, valued, and developed to do their best work.
Being a great place to work means they are making a lasting difference for everyone they serve.

Equal Opportunity

PNC provides equal employment opportunity to qualified persons regardless of race, color, sex, religion, national origin, age, sexual orientation, gender identity, disability, veteran status, or other categories protected by law.
This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.
California Residents Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.