PNC is looking to solve the business and technical problem of effectively managing model risk by validating and overseeing quantitative models used for important business decisions and policies, specifically focusing on interest rate models, derivative pricing models, Value at Risk (VaR), and counterparty credit risk measurement models.
Requirements
- Analytical Thinking
- Credit Risks
- Data Analytics
- Financial Analysis
- Model Development
- Operational Risks
- Quantitative Models
Responsibilities
- 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
- use quantitative tools and techniques to measure and analyze model risks
- evaluate identified model risks and reach conclusions on strengths and limitations of the model
- prepare detailed validation reports on quantitative models/tools for internal/external communications and/or regulatory compliance, using applicable templates
- Directs complex qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity.
Other
- Manage a small team (2-3 validators) and providing expert oversight.
- Lead reviews of the most complex and high-impact models.
- Establish 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.
- Directs, motivates, develops and manages the performance of the management team and key staff.
