Position Overview
At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are united in delivering the best experience for our customers, fostering an inclusive workplace culture where all employees feel respected, valued, and have an opportunity to contribute to the company’s success. This role is part of PNC’s Market Risk organization and will be based in Pittsburgh, PA; New York, NY; Cleveland, OH; or Tysons Corner, VA.
Key Responsibilities
- Developing and maintaining VaR, stress, and exposure models used for risk limits, reporting, and regulatory submissions.
- Enhancing IRRBB analytics (NII/EVE sensitivities, scenarios, optionality, and hedging effectiveness) and aligning them with ALM and Treasury frameworks.
- Supporting FRTB, CCAR, and CECL‑related analytics, including methodology development, benchmarking, and model impact assessments.
- Providing quantitative support for new products, portfolio changes, and strategic initiatives within Capital Markets and the balance sheet.
- Partnering with Model Risk Management to support model validation, audits, and regulatory reviews.
Required Skills and Experience
- 8+ years of industry experience in market risk analytics, quantitative modeling, or front‑office/trading analytics.
- Strong understanding of market risk and counterparty risk frameworks, including VaR, stress testing, PFE, IRRBB, and FRTB; CCAR and CECL experience is a plus.
- Strong programming skills in Python for model implementation, data analysis, and automation.
- Ability to work hands‑on, independently, manage multiple priorities, and deliver under tight deadlines.
- Practical experience with Numerix, Murex, Bloomberg, and QRM preferred.
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 and conducts executive‑level communication during 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.
Employee Expectations
- 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.
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.
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 rei