Bank Investment Risk Specialist Senior
On-site · Pittsburgh, Pennsylvania, United States
Job Summary
The PNC Financial Services Group seeks a Bank Investment Risk Specialist Senior in Pittsburgh, PA to join Market Risk Management. Responsibilities include operating financial models related to market risk, liquidity risk, capital adequacy, and regulatory reporting; maintaining risk models and data sources; analyzing VaR, PFE, economic capital, liquidity stress tests, backtesting, and P&L attribution; assessing risk parameter movements and their impact; leading analytical projects from design to implementation; partnering with model developers on design and UAT of new market risk models; and building reporting infrastructure for financial products using computational methods.
Required Qualifications
- Master's degree in Computational Finance, Financial Engineering, Statistics, or Applied Mathematics plus 1 year of financial industry experience in market risk management involving capital analysis, risk evaluation, and statistical modeling
- experience with 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
- markets and valuation for financial products including fixed income securities
- statistical methods for analyzing financial data including regression, statistical inference, and time series analyses
- probabilistic techniques for finance including financial models that rely on stochastic calculus
- capital assessment using quantitative methods to evaluate risk exposures and support compliance with risk-based capital framework
- managing and reconciling complex financial datasets, streamlining data aggregation and reporting, and resolving discrepancies to ensure data accuracy
- financial computing and analysis of financial data using VBA
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