Impress employers and recruiters.
Choose from hundreds of resume examples.

Target Resume Now

About the Role

Develop and enhance core Market Risk and Counterparty Risk analytics, focusing on Value at Risk (VaR) models but also spanning Potential Future Exposure (PFE), and Interest Rate Risk in the Banking Book (IRRBB). This role plays a critical part in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across trading and balance sheet activities. The position reports directly to the Head of Market Risk Analytics.

Responsibilities

Develop and maintain VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions
Independently perform complex quantitative analyses and model development to support decision-making by running quantitative strategies
Support FRTB related analytics, including methodology development, benchmarking, and model impact assessments
Provide quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet
Partner with Model Risk Management to support model validation, audits, and regulatory reviews
Develop new model frameworks by supporting the line of business
Refine, monitor, and validate existing models
Conduct ongoing communication with model owners and model developers during the course of the review
Work with large data to create models
Perform 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
Review reports and associated quantitative analysis
Validate existing models and assess model risks
Evaluate identified model risks and reach conclusions on strengths and limitations of the model
Prepare and analyze detailed documents for validation and regulatory compliance, using applicable templates

Requirements

6+ years of industry experience in market risk analytics, quantitative modeling, or front office/trading analytics
Strong understanding of market risk and counterparty risk frameworks, including VaR, FRTB, and PFE
Ability to work hands on, independently, manage multiple priorities, and deliver under tight deadlines
Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role
In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered

Skills

Python for model implementation, data analysis, and automation
Murex and Bloomberg preferred
CCAR and CECL experience is a plus
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

New York, NY
Pittsburgh, PA
Cleveland, OH
Washington, D.C.
another approved PNC location

Work Type

in-office

Experience Level

8+ years of industry relevant experience
Senior

Education Level

Bachelors
Masters degree, PhD, or certifications is desirable

Salary/Compensations

$112,000.00 – $249,600.00

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
a 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

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.
PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance.
PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be: Customer Focused, Managing Risk.

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.
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.