Agency MBS Quantitative Modeler

Fairygodboss; Pittsburgh (Allegheny County); On-site; USD 109,000 - 203,000; Full time

Job summary

PNC Financial Services Group is seeking an Agency MBS modeler within its Analytics and Modeling organization, based in New York, NY, or Pittsburgh, PA. The role requires deep knowledge of prepayment modeling and borrower behavior analytics, with experience implementing models in investment environments.

The successful candidate will hold a master's in a quantitative field (PhD preferred) and bring strong communication skills to translate analyses into portfolio insights.

Qualifications

• Master's degree in a quantitative field is expected, PhD preferred.
• 5+ years of industry-relevant experience.
• Bachelor's degree required.

Responsibilities

• 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.
• 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.
• 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.

Skills

Analytical Thinking

Credit Risks

Data Analytics

Financial Analysis

Model Development

Operational Risks

Quantitative Models

Risk Appetite

Education

Bachelor's degree

Master's degree in quantitative field

PhD preferred

Job description

PNC Financial Services Group is seeking an Agency MBS modeler within its Analytics and Modeling organization, based in New York, NY, or Pittsburgh, PA. The role requires deep knowledge of prepayment modeling and borrower behavior analytics, with experience implementing models in investment environments.

The successful candidate will hold a master's in a quantitative field (PhD preferred) and bring strong communication skills to translate analyses into portfolio insights.