PNC Bank Investment Risk Specialist in Pittsburgh, Pennsylvania

293460BR

Auto req ID:

293460BR

HR Job Code:

100394 Bank Investment Risk Spec

Job Profile:

The PNC Financial Services Group, Inc. seeks a Bank Investment Risk Specialist in Pittsburgh, PA to 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: (i) operating financial models related to market risk, liquidity risk, capital adequacy, regulatory reporting requirements and/or credit/counterparty exposures; (ii) maintaining risk management models including review and validation of data sources, documentation, outputs; (iii) 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; (iv) assessing and understanding movements in risk parameters and their impact on risk; (v) leading and executing analytical projects, from solution design and data integrity evaluation through documentation and implementation; (vi) partnering with model developers to design and user acceptance test new market risk models; and (vii) 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 is required. Must know (from any completed university-level coursework, seminars, workshops, or real-world, hands-on experience) the following: (i) financial instruments and markets (i.e., interest-rate, foreign-exchange and commodity price risks) and corporate credit risk management concepts including asset pricing, portfolio analysis and Value at Risk; (ii) markets and pricing financial engineering products for financial products including fixed income securities and derivatives; (iii) statistical methods for analyzing financial data including regression and time series analyses using statistical languages; (iv) probabilistic techniques for finance including financial models that rely on stochastic calculus; (v) numerical methods for finance including Monte Carlo and optimization methods and finite difference methods for partial differential equations; and (vi) modeling and analysis of financial data using languages including R, C++, and Matlab.

Position City:

PA - Pittsburgh

Position Title:

Bank Investment Risk Specialist

Line of Business:

Risk Management

Building Location:

PAA86 - The Tower at PNC Plaza

Job Type:

Regular

Total Hours Per Week:

40

Travel:

None

Job Status:

Full Time

Shift:

Daylight

Scheduled Days/Hours:

Monday - Friday, 8:00 a.m. - 5:00 p.m.

EEO Statement:

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

Location(s):

PA - Pittsburgh

Position Overview: