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PNC - New York, NY
posted 3 months ago
Full-time - Mid Level
New York, NY
Credit Intermediation and Related Activities
About the position
The Quantitative Analytics/Modeling Expert at PNC plays a crucial role in the Model Risk Management organization, focusing on the independent validation of key financial models. This position involves rigorous assessments of model performance, theoretical soundness, and compliance with regulatory standards. The expert will collaborate with stakeholders to enhance model development and ensure effective communication of validation results.
Responsibilities
- Perform qualitative and quantitative assessments of models including data quality, theoretical assumptions, and performance testing.
- Assess conceptual soundness and performance of models based on detailed documentation and testing results.
- Conduct independent testing of model assumptions and use quantitative tools to analyze model risks.
- Evaluate identified model risks and prepare detailed validation reports for internal and external communications.
- Provide expert oversight and guidance on model validation processes within assigned subject areas.
- Establish effective relationships with key stakeholders and communicate validation results to both technical and non-technical audiences.
- Collaborate with the Model Risk Management team to improve validation processes and risk management practices.
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.
Nice-to-haves
- Analytical Thinking
- Credit Risks
- Data Analytics
- Financial Analysis
- Model Development
- Operational Risks
- Quantitative Models
- Risk Appetite
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
- Robust wellness program with financial incentives
- Paid maternity and/or parental leave
- Up to 11 paid holidays each year
- 8 occasional absence days each year
- 15 to 25 vacation days each year depending on career level and years of service
