Quantitative Analytics and Model Consultant Senior - Asset Liability Management

• 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
• Independently performs the most complex quantitative analyses and models development to support decision-making
• Develops new model frameworks by supporting the line of business
• Refines, monitors, and validates existing models
• Performs the most complex qualitative and quantitative assessments on all aspects of models
• Evaluates identified model risks and reaches conclusions on strengths and limitations of the model
• Prepares and analyzes detailed documents for validation and regulatory compliance

• 8 years of experience in IRRBB, Market Risk, ALM, or Treasury
• Strong knowledge of NII and EVE frameworks
• Technical proficiency in Python and SQL
• Bachelor’s or Master’s degree in Finance, Economics, or quantitative fields
• Strong communication and collaboration skills
• growth mindset

Familiarity with QRM, Aladdin, PolyPaths, and Murex is a plus

• 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
• maternity and/or parental leave
• up to 11 paid holidays each year
• 9 occasional absence days each year
• between 15 to 25 vacation days each year