Quantitative Analytics & Model Consultant Senior - Capital Markets Models

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. As a Quantitative Analytics and Modeling Consultant Senior Validator within PNC's Model Risk Management organization, you can be based in Pittsburgh, PA / New York City / Tysons Corner, VA.

We are seeking a Senior Validator to join PNC’s Model Risk Management team within Independent Risk Management.

As a senior validator, you will perform rigorous independent reviews of PNC’s Capital Markets models, including derivatives pricing models, Value-at-Risk (VaR) models, and counterparty credit risk models, such as Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA), and related interest rate and term structure models used in pricing and risk measurement.

Key Responsibilities:

• Independent Model Review: Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing; Specific responsibilities include: (i) assess conceptual soundness and performance of models based on detailed model documentation and testing results; (ii) perform independent testing of model assumptions; (iii) use quantitative tools and techniques to measure and analyze model risks; (iv) evaluate identified model risks and form clear, well-supported conclusions regarding model strengths and limitations; (v) maintain ongoing communication with model stakeholders such as developers, owners, and reviewers; and (vi) prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates.
• Stakeholder Collaboration and Communication: Establish and maintain effective working relationships with key stakeholders, including model owners and model developers. Communicate validation results and insights clearly and concisely to both technical and non-technical audiences, including regulatory staff members. Collaborate within the Model Risk Management team to enhance validation processes and contribute to the continual improvement of model risk management practices within the organization.

Qualifications:

• Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
• 8+ years of experience within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counterparty credit risk.
• Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders.
• Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA.
• Hands-on experience with Python; experience with QuantLib or other derivatives pricing libraries is preferred.

PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance. We encourage candidates to connect with their recruiter and hiring manager to understand workplace expectations and ensure the role aligns with their goals.

PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

Pay Transparency

Base Salary: $112,000.00 – $249,600.00

Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and/or individual performance.

Application Window

Generally, this opening is expected to be posted for two business days from 10/02/2026, although it may be longer with business discretion.

Benefits

PNC offers 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; 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; a robust wellness program with financial incentives.

In addition, PNC generally provides the following paid time off, depending on your eligibility: 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; and years of service.

To learn more about these and other programs, including benefits for full-time and part-time employees, visit pncthrive.com.