PNC is looking to solve the business problem of managing Interest Rate Risk in the Banking Book, focusing on NII and EVE frameworks, by hiring a Quantitative Analytics and Model Consultant Senior
Requirements
- Strong knowledge of NII and EVE frameworks
- Technical proficiency in Python and SQL
- Familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus
- Analytical Thinking
- Credit Risks
- Data Analytics
- Financial Analysis
- Model Development
- Operational Risks
- Quantitative Models
- Risk Appetite
Responsibilities
- Support the Head of IRRBB in executing risk oversight strategy
- Develop analytics and automation using Python and SQL
- Monitor IRRBB exposures and validate adherence to limits
- Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios
- Contribute to CCAR processes, regulatory reviews, and governance forums
- Independently performs the most complex quantitative analyses and models development to support decision-making by running quantitative strategies
- Develops new model frameworks by supporting the line of business
Other
- Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields
- 8 years of experience in IRRBB, Market Risk, ALM, or Treasury
- Strong communication and collaboration skills; growth mindset
- Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions
- Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities
