Quantitative Analytics & Model Development Consultant Senior

at  PNC Financial Services Group

Job Profile
Job Description
The PNC Financial Services Group, Inc. seeks a Quantitative Analytics & Model Development Consultant Senior within the Model Risk Management Organization in Tysons Corner, VA, to lead reviews and validation of high impact models for assets on PNC’s balance sheet with major exposures to revenues and losses in both secured and unsecured retail consumer products such as mortgage, home equity, auto, and credit card for the bank’s financial stress testing (CCAR/DFAST) and quarterly credit allowance (CECL) processes. Position allows for the ability to work from home with appropriate telecommuting systems for up to one day per week, with a minimum of four days per week in the office. Specific duties include: (i) provide oversight and execution to the model validation activities by conducting on-going communication with model owners, developers, and specialists; (ii) collect and work with large and complex data and assumptions to create and test model outputs; (iii) perform complex qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity; (iv) review and perform advanced quantitative analysis and produce model documentation and written validation in accordance with PNC’s Model Validation Policy and Guidelines; (v) use programming and quantitative tools and techniques to validate existing models, develop benchmark models and assess model risks; (vi) evaluate identified model risks and reach conclusions on strengths and limitations of the model, with a written report on model issues requiring remediation; (vii) determine if any poorly developed model should be rejected (rated Unsatisfactory), as recommended to model-risk validation management; and (viii) consult with model-risk management extensively as model validation reports are written and key new conclusions in model issues are drawn or outstanding issues are closed after review.
Master’s degree in Mathematics, Statistics, Engineering, Economics, or Quantitative Finance plus 6 years of financial risk modeling and credit risk analytics experience at or for a bank or financial service company is required. Must have experience with: (i) building loss forecast models for consumer lending products including mortgage, home equity, auto, and credit card; (ii) performing statistical analyses on loan loss exposure in retail lending products; (iii) working with large datasets (number of records >10MM or variables ( >100)) and simulation for major loan product ( >$10B exposure) under transition matrix framework; (iv) applying traditional algorithms including logistic and linear regression, decision tree, clustering, and machine learning algorithms to estimate probability of loan default and credit loss; (v) performing advanced data manipulations and developing quantitative models/tools using programming languages including SAS, SQL, Python, and R; (vi) conducting quantitative model performance testing using error metrics and creating technical documentation to evaluate the forecasting outcomes for credit risk models; and (vii) model development for stress testing (CCAR/DFAST) and allowance (ALLL/CECL) purposes.
40 hours/week, 8:00 a.m.–5:00 p.m.
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.

Please refer the Job description for details