Quantitative Analytics And Model Development Consultant #315259BR

The PNC Financial Services Group
Pittsburgh, PA Full-time
Posted on May 12, 2019

Quantitative Analytics And Model Development Consultant

The PNC Financial Services Group, Inc. seeks a Quantitative Analytics and Model Development Consultant in Pittsburgh, PA to participate in all aspects of model validation activities.

Specific duties include:

(i) work with Model Owners and Specialists, and independently perform validations of high impact models in compliance with OCC 2011-12 and PNC's Model Validation Policy and Guidelines;

(ii) as member of the Model Risk Management Group (MRMG), provide oversight and execution to the model validation activities;

(iii) receive and review data and assumptions used in models, including model output, in preparation for model validation;

(iv) conduct robust and comprehensive model validation testing and analysis in accordance with PNC's Model Validation Policy and Guidelines;

(v) document and present model validation results to the head of the MRMG; and

(vi) provide support/analysis on key models assigned, such as VaR models, derivative pricing models, PFE, CVA/FVA, or other complex models. Master's degree in Mathematics, Statistics, Quantitative Finance, Financial Engineering, Economics, or Business plus 3 years of experience in position(s) requiring quantitative financial modeling or quantitative financial validation is required.

Experience must include:

(i) asset valuation, loss forecasting, capital calculation and risk analysis;

(ii) work with or for a financial services firm/organization focusing on analytic applications for modeling or model risk;

(iii) SAS, R, VBA, Python or Matlab for statistical/stochastic modeling, simulation and large data set manipulation (data sets involving large numbers of records (>10K) or variables (>100) or source systems); and

(iv) development of testing methodologies including regression and ANOVA statistical tests and CCAR/DFAST and CECL stress tests, and the creation of working papers. Must have knowledge of modeling methodologies (including the conceptual framework and assumptions of models) and designs and the impact of models on business decision-making. 40 hours/week, 8:00 a.m.–5:00 p.m.

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.