About this opportunity
PNC Financial Services Group, Inc. lists this Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO) opportunity in new york, New York. Review the employer’s description below for duties, qualifications and application requirements.
Job description
Position Overview
At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company’s success. As a Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)within PNC's Finance organization, you will be based in New York City, NY. PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.
About the Team
The CIO Modeling team develops, maintains, and monitors models supporting PNC's investment securities, residential mortgage loans and mortgage servicing portfolios. In partnership with portfolio managers and key stakeholders, the team delivers robust valuation, forecasting, and risk measurement capabilities to inform business decisions.
Role Overview
This is a highly visible, buy-side-facing role working alongside senior portfolio managers and PNC's CIO.
Act as the dedicated analytical partner to the Portfolio Management team to manage risk and conduct investment analysis on Agency MBS and MSR positions. Examples of analyses include prepayment behavior of specific collateral types, empirical risk characteristics of CMO structures
Develop interest rate term structure, mortgage rate propagation and cashflow models to manage MSR and Agency MBS positions. Implement the models in the relevant risk and valuation systems
Monitor model performance and engage with Risk and other control functions to ensure proper model governance
Requirements
8+ years in a sell-side or buy-side institution e.g. fixed income research, prepayment modeling, MSR investment team, or an Agency MBS dealer desk with demonstrated experience supporting PMs or traders.
Modeling skill set: term structure, mortgage rate propagation, prepayments, and cashflow modeling; strong empirical research, econometrics, and statistics background (regression, time series).
Fluent in Python/SQL for empirical research on loan-level data. Solid financial mathematics foundation (bond math, options pricing).
Advanced quantitative degrees are strongly preferred (PhD, or master's in engineering, math, statistics, finance);
In office, New York, NY.
Company Culture
PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance.
Job Description
Provides strategic and analytical insights around quantitative analyses, processes, and validations. Reviews complex quantitative analyses and models and engages with the Line of Business to enhance model development by incorporating business feedback. Oversees the development of new model frameworks by supporting the line of business and provides consultative feedback around improvements. Reviews any recommended changes to existing models. Conducts executive level communication during the course of the review. Performs the most complex qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Reviews reports and associated quantitative analysis and provides analytical insight into potential areas of improvement. Reviews validation of existing models and assesses model risks. Reviews the evaluations of identified model risks and provides high level consultation around recommended conclusions on strengths and limitations of the model. Provides consultative feedback around the preparation and analysis of regulatory compliance documents.
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.
Qualifications
Preferred Skills
Analytical Thinking
Credit Risks
Data Analytics
Financial Analysis
Model Development
Operational Risks
Quantitative Models
Risk Appetite
Competencies
Bank Quantitative Analysis
Consulting
Data Gathering and Reporting
Effective Communications
Predictive Analytics
Quantitative Techniques
Regulatory Environment - Financial Services
Testing
Industry experience is typically 8 + years.
Specific certifications are often required. In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered.
Education
Bachelors
Certifications
No Required Certification(s)
Licenses
No Required License(s)
Language Assessments
No Required or Preferred Language Assessments
Pay Transparency
Base Salary: $159,600.00 – $296,400.00 Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and/or individual performance.
Benefits
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, unless otherwise required by law
between 15 to 25 vacation days each year, depending on career level
years of service
Disability Accommodations Statement
If an accommodation is required to participate in the application process, please contact us via email at Please include “accommodation request” in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email. Emails not related to accommodation requests will not receive responses. Applicants may also call and say "Workday" for accommodation assistance. All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.
Equal Employment Opportunity (EEO)
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. This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.
California Residents
Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.
For nearly 160 years, PNC has strived to make a meaningful impact for our employees, customers, communities, and shareholders. We believe our success and positive reputation are built on open and honest dialogue, an unwavering focus on smart risk management, relationship-based customer service and community investments. Our inclusive workplace allows our employees to be heard, valued, and developed to do their best work. Being a great place to work means we are making a lasting difference for everyone we serve.
Check out the top reasons to join PNC.
#J-18808-Ljbffr
Worksite address
new york, NY, 10261, US
Who can apply
Review the original listing for work authorization, qualifications and employer requirements.