BANK INVESTMENT RISK SPECIALIST SENIOR

BANK INVESTMENT RISK SPECIALIST SENIOR

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.

40 hours/week, 8:00 a.m.–5:00 p.m. Interested individuals apply online at www.pnc.com using keyword R222314. 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.