Quantitative Analytics and Model Group Manager
PNC
full-time
Posted on:
Location Type: Hybrid
Location: Pittsburgh • New York, Pennsylvania, Virginia • 🇺🇸 United States
Visit company websiteSalary
💰 $100,000 - $261,950 per year
Job Level
SeniorLead
Tech Stack
PythonSQL
About the role
- 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 reach conclusions on strengths and limitations of the model;
- conduct on-going 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, using applicable templates.
- provide expert oversight for models within assigned subject area(s), providing validators with guidance on the independent review of the models
- 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.
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 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.
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
- 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
Applicant Tracking System Keywords
Tip: use these terms in your resume and cover letter to boost ATS matches.
Hard skills
quantitative assessmentdata qualityperformance testingmodel validationmodel risk analysistheoretical assumptionsquantitative toolsmodel documentationregulatory compliancestochastic calculus
Soft skills
communication skillsrelationship buildingcollaborationindependent review guidanceclear communicationstakeholder engagementinsight presentationteam contributiontechnical concept explanationreport preparation