Quantitative Analytics And Model Consultant Senior - Capital Markets Models

PNC Bank

Pittsburgh, PA, US
Base: $80,000.00 – $209,300.00; bonus/equity: ince...
Master's or ph.d. in quantitative field
8+ years financial services experience
Derivatives pricing and var model validation
This role involves performing rigorous independent reviews of capital markets models including derivatives pricing and Value-at-Risk models

Job Summary

  • This role involves performing rigorous independent reviews of capital markets models including derivatives pricing and Value-at-Risk models.
  • The successful candidate must possess a Master's or Ph.D. in a quantitative field with over 8 years of relevant industry experience.
  • PNC offers comprehensive benefits including medical coverage, 401(k) matching, and up to 25 vacation days depending on career level.

Matching Summary

This role involves performing rigorous independent reviews of capital markets models including derivatives pricing and Value-at-Risk models.

Salary

Base: $80,000.00 – $209,300.00; Bonus/Equity: Incentive eligible based on performance; Benefits: Comprehensive medical, dental, vision, 401(k) match, pension, and stock purchase plans

Skills & Requirements

Must-have

  • Master's or Ph.D. in quantitative field
  • 8+ years financial services experience
  • Derivatives pricing and VaR model validation
  • Counterparty credit risk model assessment
  • Python programming and QuantLib experience

Nice-to-have

  • Strong written and verbal communication skills
  • Ability to work under tight timelines
  • Experience with regulatory compliance frameworks
  • Collaborative stakeholder management style

Key Requirements

  • Master's or Ph.D. in Finance, Physics, Mathematics
  • 8+ years experience in model development or validation
  • Knowledge of regulatory requirements for market risk models
  • Hands-on experience with Python and QuantLib

Work Rights

Not specified

Tailored Resume

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