Quantitative Analytics & Model Consultant Senior - Market Risk

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company's success.

As a Quantitative Analytics & Model Consultant Senior within PNC's Market Risk Management organization, you will be based in Pittsburgh, PA / Charlotte, NC / New York City / Cleveland, OH / Washington, DC / Buffalo, NY / Chicago, IL / Houston, TX, or another approved PNC location.

This role will develop and enhance core Market Risk and Counterparty Risk analytics, focusing on Value at Risk (VaR) models but also spanning Potential Future Exposure (PFE), and Interest Rate Risk in the Banking Book (IRRBB). The position plays a critical role in ensuring sound risk measurement, regulatory compliance, and effective risk oversight across both trading and balance sheet activities.

The successful candidate will work closely with Market Risk Management, Model Validation, Treasury, Asset & Liability Management (ALM), Finance, and the Capital Markets Group to provide independent quantitative review, effective challenge, and model governance, ensuring that methodologies, assumptions, and limitations are well understood and fit for purpose.

This is a high visibility role reporting directly to the Head of Market Risk Analytics.

Key responsibilities include: - Developing and maintaining VaR, PFE, stress, and exposure models used for risk limits, reporting, and regulatory submissions - Independently performs complex quantitative analyses and model development to support decision-making by running quantitative strategies. - Supporting FRTB 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

Preferred skills and experience include: - 6+ 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, FRTB, and PFE; 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 Murex and Bloomberg preferred

- 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. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and model developers during the course of the review.

Works with large data to create models. - 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. Validates existing models and assesses model risks. - Evaluates identified model risks and reaches conclusions on strengths and limitations of the model. - Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.

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, PhD, or certifications is desirable. Industry relevant 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.

Generally, this opening is expected to be posted for two business days from 05/13/2026, although it may be longer with business discretion.