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.
Apply quantitative tools and techniques to measure and analyze model risks.
Evaluate identified model risks and provide clear conclusions on model strengths and limitations.
Maintain ongoing communication with model stakeholders such as developers, owners and reviewers.
Prepare comprehensive validation reports for internal/external communications and/or regulatory compliance, using applicable templates.
Build 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 model risk management practices within the organization.

Requirements

Master's or Ph.D. in a quantitative field such as Finance, Statistics, Physics, Mathematics, or a related discipline with a stochastic calculus background.
Experience in ALM and Treasury model development and/or validation within the financial services industry is highly desired.
Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
Hands-on experience with one or more of 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
9 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 & Tools

quantitative assessmentsdata qualityperformance testingmodel validationmodel risk analysismodel documentationmodel performance evaluationstochastic calculusALM model developmentTreasury model validation

Soft Skills

communication skillsrelationship buildingcollaborationclear communicationstakeholder engagement