Quantitative Analytics and Model Consultant Senior - Asset Liability Management role provides second-line oversight of Interest Rate Risk in the Banking Book, focusing on NII and EVE frameworks. The position requires strong quantitative skills, technical proficiency, and the ability to collaborate across multiple functions.
Requirements
- Support the Head of IRRBB in executing risk oversight strategy.
- Develop analytics and automation using Python and SQL.
- Monitor IRRBB exposures and validate adherence to limits.
- Quantify and analyze risks including deposit modeling, rate models, OAS, and mortgage portfolios.
- Partner with Front Office, Finance, IT, Legal, Compliance, and other stakeholders.
- Contribute to CCAR processes, regulatory reviews, and governance forums.
Benefits
- 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
- 401(k) with PNC match, pension and stock purchase plans
- Dependent care reimbursement account
- Back-up child/elder care
- Adoption, surrogacy, and doula reimbursement
- Educational assistance, including select programs fully paid
- Robust wellness program with financial incentives
- Maternity and/or parental leave
- Up to 11 paid holidays each year
- 9 occasional absence days each year, unless otherwise required by law
- Between 15 to 25 vacation days each year, depending on career level
- Years of service
