Job Description

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.
This position will be located in PNC's downtown, Pittsburgh, PA location, Cleveland, Ohio, Wilmington, DE, Charlotte, NC, Tyson’s Corner, VA, Washington, DC or NYC, NY.

As a Senior Quantitative Analyst & Modeling Consultant and member of the Non-Residential Retail Model Development team, you will be responsible for developing, implementing and maintaining of PD, LGD, EAD and other models that support our retail businesses including Credit Card, Auto, Student lending and Other Consumer loans. This includes stress testing (CCAR/DFAST) and reserves (CECL) models. You will work closely with our business partners, independent risk management and audit, and will frequently present your work to senior PNC executives and regulators.

Key Responsibilities:
• Assist in the development of non-resi retail models for use in a variety of critical applications.
• Implement and maintain new or modified models into the production environment and support PNC's CCAR/DFAST/CECL submissions
• Work closely with model owners, line of business and risk managers to resolve model issues, improve models and analytics
• Produce analytics in support of model development and production or other business needs that require employing statistical methodologies and/or data processing skills
• Collect data from various sources, perform analysis and interpret results to assist in making impactful business decisions
• Regularly review the performance monitoring of assigned models and methodologies.
Qualifications:
• BS/BA in STEM related degree. Advanced degree (Masters or PhD) in Quantitative discipline such as Statistics, Mathematics, Operations Research, Econometrics etc. is preferred.
• Excellent programming knowledge and experiences in Python/ R/ SAS is a must.
• 8+ years of related working experience in financial services. Credit Risk area is preferred.
• Knowledge on developing Probability of Default (PD), Loss given Default (LGD) and Exposure at Default (EAD) models. Retail experience is preferred.
• Excellent data manipulation skills on large data sets with ability to source data from Oracle/SQL/Hadoop
• Ability to solve problems while working under pressure, and undertake, execute and deliver on-time multiple simultaneous projects under tight deadlines
• A team player with the ability to develop relationships with non-quantitative partners and stakeholders
• Excellent written and verbal communication skills

Please note: PNC will not sponsor work visas for this position.

Job Description

• 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.

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.

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.

Effective Communications – Understanding of effective communication concepts, tools and techniques; ability to effectively transmit, receive, and accurately interpret ideas, information, and needs through the application of appropriate communication behaviors.

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. 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 and experience (including military service) may be considered.

Education

Bachelors

Additional Job Description

Benefits