Quantitative Analytics & Model Development Group Manager Senior, Market Risk and Counterparty Risk Model

Job Profile Position Overview 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 Development Group Manager Senior you will be a member of the Independent Risk Management team reporting to PNC’s Chief Model Risk Officer.
This position is primarily based in a location within PNC's footprint.
We are seeking an accomplished Senior Validation Manager to lead our Market Risk Model and Counterparty Credit Risk Model Validation team at PNC.
This pivotal role involves overseeing a dedicated team of Ph.
D and MA level validators specializing in the rigorous validation of market risk models, including derivative pricing models, Value at Risk (VaR) models, asset and liability models measuring interest rate risk and liquidity, as well as counterparty credit risk measurement models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA).
The Senior Validation Manager will be instrumental in ensuring the accuracy, reliability, and compliance of these critical models with our risk appetite, model risk management framework, and regulatory requirements.
If you are a seasoned validation professional with expertise in market and counterparty risk models and a passion for leadership, we invite you to apply for this challenging and rewarding position at PNC.
Join us in shaping the future of risk management and contributing to the success of our organization.
Preferred Qualifications: •Master's or Ph.
D.
in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a strong stochastic calculus background.
•Extensive experience (10+ years) in market risk and counterparty risk model development and/or validation within the financial services industry.
•Proven leadership skills with the ability to manage and inspire a team of validation professionals.
•In-depth knowledge of regulatory requirements related to market and counterparty credit risk models, including PFE, CVA, FVA, derivative pricing models, VaR models, and interest rate risk and liquidity models.
•Strong communication skills, both written and verbal, with the ability to convey complex technical concepts to diverse stakeholders.
Primary Responsibilities: •Leadership and Expert Oversight: As the Senior Validation Manager, you will provide leadership and expert oversight for the validation team, guiding them in the independent review of complex market and counterparty risk models.
This includes fostering a collaborative and high-performance culture, setting expectations for the team, and providing mentorship to enhance their expertise in the models they validate.
The incumbent will be a part of the senior leadership team reporting to the CMRO, providing input on various model risk framework elements, and processes related to the functioning of the team.
•Asset Liability Management, Market and Counterparty Credit Risk Model Validation: Take the lead in the validation of a diverse range of models, assessing methodologies, assumptions, and outcomes.
This involves a deep understanding of balance sheet interest rate and liquidity risk, derivative instruments, risk factors, financial market dynamics, and the intricacies of PFE, CVA, and FVA calculations.
The Senior Validation Manager will ensure that models accurately capture the inherent risks and comply with PNC’s Model Risk Management Framework.
•Stakeholder Collaboration and Communication: Establish effective relationships with key stakeholders, including risk management teams, model developers, and regulatory bodies.
Communicate validation results and insights clearly and concisely to both technical and non-technical audiences.
Collaborate with internal departments to enhance validation processes and contribute to the continual improvement of market and counterparty risk management practices within the organization.
Job Description Establishes Line of Business vision and strategy, initiatives and activities associated with developing, testing, and/or validation of quantitative models used for important business decisions and policies.
Oversees robust and comprehensive model review testing and analysis in accordance with all applicable review procedures and lifecycle standards.
Creates Line of Business vision and establishes strategies needed to develop new model frameworks.
Oversees development of new model framework 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.
Evaluates identified model risks and reaches conclusions on strengths and limitations of the model.
Reviews and approves the preparation and analysis of detailed documents for validation and regulatory compliance.
Directs, motivates, develops and manages the performance of the management team and key staff.
PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be: 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.
PNC also has fundamental expectations of our people managers.
As a manager of talent in PNC, you will be expected to: Include Intentionally - Cultivates diverse teams and inclusive workplaces to expand thinking.
Live the Values - Role models our values with transparency and courage.
Enable Change - Takes action to drive change and innovation that will transform our business.
Achieve Results - Takes personal ownership to deliver results.
Empowers and trusts others in decision making.
Develop the Best - Raises the bar with every talent decision and guides the achievement of all employees and customers.
Competencies Bank Quantitative Analysis – Knowledge of and ability to use numerical methods to develop statistical models for devising trading strategies.
Consulting – Knowledge of techniques, roles, and responsibilities in providing technical or business guidance to clients, both internal and external; ability to apply this knowledge appropriately to diverse situations.
Data Gathering and Reporting – Knowledge of and ability to utilize tools, techniques and processes for gathering and reporting data in a particular department or division of a company.
Predictive Analytics – Knowledge of, experience with and ability to use the tools, processes and practices for predicting business trends and providing forecasts that drive business decisions and business planning.
Quantitative Techniques – Knowledge of and ability to use quantitative tools and techniques to measure and analyze risks.
Regulatory Environment - Financial Services – Knowledge of and ability to help an organization adapt to applicable federal, state, local, and company-specific regulations, policies, and guidelines affecting business practices.
Testing – Knowledge of and ability to plan, implement and manage testing strategies, policies and practices that assure the delivery of high quality applications.
Work Experience Roles at this level typically require a university / college degree and higher level education such as a Masters degree, PhD, or certifications.
Industry -relevant experience is typically 8+ years.
At least 5 years of prior management experience is typically required.
Proven leadership experience with a large scope of responsibility is 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 Additional Job Description Base Salary: $125,000 - $299, 000 Salaries may vary within the range based on geographic location, market data and on individual skills, experience, and education.
Role is incentive eligible with the payment based upon company, business and/or individual performance.
Application Window: Generally, this opening is expected to be posted for 48 business hours from 3/18/2024, although longer with business discretion.
Benefits PNC offers employees 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; maternity and parental leave; paid holidays, vacation days and occasional absence time; 401(k), pension and stock purchase plans; dependent care reimbursement account; back-up child/elder care; adoption assistance; educational assistance and a robust wellness program with financial incentives.
To learn more about these and other programs, including benefits for part-time employees, visit pncbenefits.
com > New to PNC.
Disability Accommodations Statement: If an accommodation is required to participate in the application process, please contact us via email at AccommodationRequest@pnc.
com .
Please include “accommodation request” in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email.
Emails not related to accommodation requests will not receive responses.
Applicants may also call 877-968-7762 and select Option 4: Recruiting for accommodation assistance.
All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.
At PNC we foster an inclusive and accessible workplace.
We provide reasonable accommodations to employment applicants and qualified individuals with a disability who need an accommodation to perform the essential functions of their positions.
Equal Employment Opportunity (EEO): 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.
California Residents Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.