Agency MBS Modeler - Asset Liability Management (ALM)
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 Agency MBS modeler within PNC's Analytics and Modeling organization, you will be based in New York, NY, or Pittsburgh, PA.
Demonstrated expertise in Agency MBS and/or residential mortgage loan modeling is required, with deep knowledge of prepayment modeling and borrower behavior analytics. The successful candidate will have experience implementing and applying models within dealer, sell-side, or buy-side investment environments. Strong communication skills are essential, with the ability to translate complex quantitative analyses into clear portfolio insights and actionable recommendations. Master's degree in quantitative field expected with PhD preferred.
PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance. We encourage candidates to connect with their recruiter and hiring manager to understand workplace expectations and ensure the role aligns with their goals.
PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.
Job Description
- Performs complex quantitative analyses and models development to support decision-making by running quantitative strategies.
- Develops new model frameworks by supporting the line of business. Refines, monitors, and validates existing models. Conducts on-going communication with model owners and model developers during the course of the review. Works with large data to create models.
- Performs advanced 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. Validates existing models and assesses model risks.
- Evaluates identified model risks and reaches conclusions on strengths and limitations of the model.
- Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.
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
Not included in the source posting: about the role, what you'll do, benefits.
Who can apply
The employer didn't state any visa, work authorization, citizenship or clearance requirements in this posting. Confirm with the employer before applying.
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