Agency MBS & MSR Modeling Leader

PNC; New York (NY); On-site; USD 160,000 - 296,000; Full time

Job summary

PNC in New York, NY seeks a Managing Director, Agency MBS & MSR Modeling in the CIO office. This in-office role partners with Portfolio Management to develop and enhance models driving Agency MBS and MSR investments and risk decisions.

You will build term structures, cashflow models, and conduct empirical research on loan-level data, collaborating with senior PMs and governance teams to ensure robust model performance and regulatory alignment.

Qualifications

• 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).

Responsibilities

• Act as the dedicated analytical partner to the Portfolio Management team to manage risk and conduct investment analysis on Agency MBS and MSR positions.
• Develop interest rate term structure, mortgage rate propagation and cashflow models to manage MSR and Agency MBS positions.
• Monitor model performance and engage with Risk and other control functions to ensure proper model governance.
• Provide consultative feedback around strengthening model risk management and regulatory compliance documentation.

Skills

Python/SQL

Quantitative modeling

Empirical research

Education

Bachelor's

Job description

PNC in New York, NY seeks a Managing Director, Agency MBS & MSR Modeling in the CIO office. This in-office role partners with Portfolio Management to develop and enhance models driving Agency MBS and MSR investments and risk decisions.

You will build term structures, cashflow models, and conduct empirical research on loan-level data, collaborating with senior PMs and governance teams to ensure robust model performance and regulatory alignment.