Managing Director, Agency MBS & MSR Modeling — CIO

PNC; New York (NY); In loco; USD 160.000 - 296.000; Tempo pieno

Descrizione del lavoro

PNC invites a senior modeling leader to join CIO as Managing Director, Agency MBS & MSR Modeling, based in New York City. You will partner with Portfolio Management to develop and enhance models for Agency MBS and MSR investments and risk management.

The role combines buy-side analytics, advanced quantitative methods, and oversight of model governance. Strong Python/SQL, econometrics, and financial math foundations are required; advanced degrees preferred.

Competenze

• 8+ years in a sell-side or buy-side institution with PMs or traders support.
• Modeling skill set: term structure, mortgage rate propagation, prepayments, and cashflow modeling; econometrics and statistics.
• Fluent in Python/SQL for empirical research on loan-level data.
• Advanced quantitative degrees preferred (PhD or Masters).

Mansioni

• Act as the dedicated analytical partner to Portfolio Management 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; implement in risk/valuation systems.
• Monitor model performance and ensure proper model governance with Risk and other control functions.

Conoscenze

Python/SQL

Econometrics

Statistics

Bond math

Options pricing

Formazione

PhD or Masters in related field

Descrizione del lavoro

PNC invites a senior modeling leader to join CIO as Managing Director, Agency MBS & MSR Modeling, based in New York City. You will partner with Portfolio Management to develop and enhance models for Agency MBS and MSR investments and risk management.

The role combines buy-side analytics, advanced quantitative methods, and oversight of model governance. Strong Python/SQL, econometrics, and financial math foundations are required; advanced degrees preferred.