Senior Quantitative Analytics Consultant – Capital Markets Models

PNC

Quantitative Analytics and Model Consultant Senior for PNC's Model Risk Management, reviewing and validating Capital Markets models. Collaborating with stakeholders and ensuring compliance with regulatory standards.

Posted 6/4/2026full-timeNew York City • New York, Pennsylvania, Virginia • 🇺🇸 United StatesSenior💰 $80,000 - $209,300 per yearWebsite

Tech Stack

Tools & technologies

Python

About the role

Key responsibilities & impact

Perform rigorous independent reviews of PNC’s Capital Markets models, including derivatives pricing models, Value-at-Risk (VaR) models, and counterparty credit risk models
Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing
Maintain ongoing communication with model stakeholders such as developers, owners, and reviewers
Prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates
Establish and maintain effective working relationships with key stakeholders, including model owners and model developers

Requirements

What you’ll need

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 within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counterparty credit risk.
Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders.
Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA.
Hands-on experience with Python; experience with QuantLib or other derivatives pricing libraries is preferred.

Benefits

Comp & perks

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

ATS Keywords

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Applicant Tracking System Keywords

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Hard Skills & Tools

derivatives pricingValue-at-Risk (VaR)counterparty credit riskquantitative model assessmentdata quality and integritytheoretical assumptionsperformance testingstochastic calculusPythonQuantLib

Soft Skills

independent assessmentwritten communicationverbal communicationstakeholder engagementrelationship building

Certifications

Master's degreePh.D.