This role involves performing rigorous independent reviews, as well as providing expert oversight, of some of PNC's most important models, including interest rate models, securities risk analytics models, derivative pricing models, Value at Risk (VaR) models, and counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA).

Key Responsibilities:

1. Independent Model Review: Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing; Specific duties include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results (ii) perform independent testing of model assumptions (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and reach conclusions on strengths and limitations of the model; (v) conduct on-going communication with model stakeholders such as developers, owners and reviewers; and (vi) prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates.

2. Expert Oversight: As the Model Validation Expert, you will provide expert oversight for the models within the assigned subject area(s), providing validators with guidance on the independent review of the models and ensuring that validation work is performed in accordance with the model risk management framework.

3. Stakeholder Collaboration and Communication: Establish effective 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 market and counterparty risk management practices within the organization.

Qualifications:

- 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 is required.
- Knowledge of regulatory requirements related to market and counterparty credit risk models, including PFE, CVA, FVA, derivative pricing models, 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.

Job Description

• Provides strategic and analytical insights around quantitative analyses, processes, and validations. Reviews complex quantitative analyses and models and engages with the Line of Business to enhance model development by incorporating business feedback.
• Oversees the development of new model frameworks by supporting the line of business and provides consultative feedback around improvements. Reviews any recommended changes to existing models. Conducts executive level communication during the course of the review.
• 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 and provides analytical insight into potential areas of improvement. Reviews validation of existing models and assesses model risks.
• Reviews the evaluations of identified model risks and provides high level consultation around recommended conclusions on strengths and limitations of the model.
• Provides consultative feedback around the preparation and analysis of regulatory compliance documents.

PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be:

• Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions.
• Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.

Qualifications

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and required certifications/licensures needed to be successful in this position.

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

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

Work Experience
Roles at this level typically require a university / college degree. Higher level education such as a Masters degree, or PhD is desirable. Industry experience is typically 8 + years. Specific certifications are often required. 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
No Required Certification(s)

Licenses
No Required License(s)

Pay Transparency

Base Salary: $100,000.00 - $254,150.00

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.

Application Window

Generally, this opening is expected to be posted for two business days from 10/04/2024, although it may be longer with business discretion.

Benefits

PNC offers a comprehensive range of benefits to help meet your needs now and in the future. Depending on your eligibility, options for full-time employees include: 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.

In addition, PNC generally provides the following paid time off, depending on your eligibility: maternity and/or parental leave; up to 11 paid holidays each year; 8 occasional absence days each year, unless otherwise required by law; between 15 to 25 vacation days each year, depending on career level; and years of service.

To learn more about these and other programs, including benefits for full time and part-time employees, visit pncbenefits.com > New to PNC.

For more information, please click on the following links:

Time Away from Work

PNC Full-Time Benefits Summary

PNC Part-Time Benefits Summary

Disability Accommodations Statement

If an accommodation is required to participate in the application process, please contact us via email at AccommodationRequest@pnc.com. Please include "accommodation request" in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email. Emails not related to accommodation requests will not receive responses. Applicants may also call 877-968-7762 and say "Workday" for accommodation assistance. All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.

At PNC we foster an inclusive and accessible workplace. We provide reasonable accommodations to employment applicants and qualified individuals with a disability who need an accommodation to perform the essential functions of their positions.

Equal Employment Opportunity (EEO)

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.

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