Credit Risk Modeler Jobs in Pennsylvania (NOW HIRING)

Job Description
The PNC Financial Services Group, Inc. seeks a Bank Investment Risk Specialist Senior in Pittsburgh, PA. Work within the Market Risk Management department and provide advanced quantitative and financial analyses utilizing financial risk modeling software programs and modeling tools in support of monitoring market risk. Specific duties include: (1) operating financial models related to market risk, liquidity risk, capital adequacy, regulatory reporting requirements and/or credit/counterparty exposures; (2) maintaining risk management models including review and validation of data sources, documentation, outputs; (3) analyzing results of various processes such as Value-at-Risk (VaR) models, Potential Future Exposure (PFE) models, economic capital models, liquidity stress tests, backtesting and/or P&L attribution to support current regulatory requirements; (4) assessing and understanding movements in risk parameters and their impact on risk; (5) leading and executing analytical projects, from solution design and data integrity evaluation through documentation and implementation; (6) partnering with model developers to design and user acceptance test new market risk models; and (7) developing reporting infrastructure, including databases, for financial products, leveraging knowledge of computational methodologies and assisting other business groups to better utilize system capabilities and meet requirements.
Master's degree in Computational Finance, Financial Engineering, Statistics, or Applied Mathematics plus 1 year of financial industry experience relevant to market risk management involving capital analysis, risk evaluation, and statistical modeling is required. Must have experience with: (1) financial instruments and markets including interest-rate risk, and corporate credit risk management concepts including asset pricing, portfolio analysis, Value at Risk and stress testing; (2) markets and valuation for financial products including fixed income securities; (3) statistical methods for analyzing financial data including regression, statistical inference, and time series analyses using statistical languages; (4) probabilistic techniques for finance including financial models that rely on stochastic calculus; (5) capital assessment using quantitative methods to evaluate risk exposures and support compliance with risk-based capital framework; (6) managing and reconciling complex financial datasets, streamlining data aggregation and reporting, and resolving discrepancies to ensure data accuracy; and (7) financial computing and analysis of financial data using VBA.
Must have knowledge of: (1) numerical methods for finance including Monte Carlo and optimization methods and finite difference methods for partial differential equations; and (2) financial computing and analysis of financial data using languages including SQL, R, C++, and Python.
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 pncthrive.com.
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 say "Workday" 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.
This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.
California Residents
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