Quantitative Analytics & Model Development Analyst Sr. - Credit Risk

PNC Financial Services Group
Tysons Corner, VA
Jan 20, 2021
Jan 22, 2021
Full Time
Job DescriptionJob Profile Position Overview The PNC Financial Services Group, Inc., is a diversified financial services company which operates three primary segments: Retail Banking, Corporate & Institutional Banking, and Asset Management Group. The Company offers a wide range of products and services, including retail products, commercial & industrial and commercial real estate loans, and residential real estate loans. At PNC, our people are the greatest differentiator and competitive advantage in serving the needs of our customers and communities. This position resides within the Balance Sheet Analytics & Modeling Group and will be located in Tyson's Corner, Virginia. As a member of the Residential Real Estate Credit Risk Modeling team you will be responsible for developing and maintaining of PD, LGD, EAD and other models that support our retail businesses including mortgages and home equity loans. This includes stress testing (CCAR/DFAST), reserves (ALLL/CECL) and Basel RWA. You will work closely with our business partners, independent risk management and audit, and will present your work to senior PNC executives and regulators. Key Responsibilities: * Develop, maintain and enhance retail models for use in a variety of critical applications * Enhance and maintain model development documentation * Work closely with model owners, line of business and risk managers to improve models and analytics * Collaborate with model risk management teams on validations and resolving model issues * Produce analytics in support of model development or other business needs that require employing statistical methodologies and/or data processing skills * Create presentations on model methodologies and outcomes to senior management and governance committees * Collect data from various sources, perform analysis and interpret results to assist in making important business decisions * Assist in the implementation of new or modified models into the production environment * Regularly review the performance monitoring of assigned models and methodologies Qualifications: * BS/BA or Master's degree in STEM related fields with 3+ years of model development & analytics experience. Or, doctorate degree in economics, quantitative finance, statistics, computer science or a related quantitative field. * Work experience or coursework applying predictive modeling techniques to large data sets. * Strong programming skills. Work experience or coursework writing statistical programs or analytical codes to build models or analyze complex data. Deep knowledge in Python and Py-Spark is a plus. * Ability to solve problems and execute and deliver on-time projects under tight deadlines. * Good written and verbal communication skills. *Please note: PNC will not sponsor work visas for this position. Job Description * Independently performs advanced quantitative analyses and model development to drive decision-making by running quantitative strategies. Makes recommendations based on analyses. * Analyzes and develops new model frameworks by supporting the line of business. Refines, monitors, and reviews existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with larger, more complex datasets to create models. * Performs quantitative analysis and develops complex reports. Performs qualitative and quantitative assessments of all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Analyzes complex data and associated quantitative analysis. Makes recommendations based on findings from data analytics. * Uses quantitative tools and techniques to measure and analyze model risks and reaches conclusions on strengths and limitations of the model. * Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates. PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be: * Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions. * Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework. Competencies Bank Quantitative Analysis - Knowledge of and ability to use numerical methods to develop statistical models for devising trading strategies. Consulting - Knowledge of techniques, roles, and responsibilities in providing technical or business guidance to clients, both internal and external; ability to apply this knowledge appropriately to diverse situations. Data Gathering and Reporting - Knowledge of and ability to utilize tools, techniques and processes for gathering and reporting data in a particular department or division of

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