Senior MD — Agency MBS & MSR Modeling Leader

PNC Financial Services Group, Inc.; New York (NY); On-site; USD 160,000 - 296,000; Full time

Benefits offered by this job

Medical/prescription drug coverage

Dental and vision options

401(k) with PNC match

Pension and stock purchase plans

Generous paid holidays and vacation

Job summary

PNC Financial Services Group, Inc. in New York City invites a Managing Director to lead Agency MBS & MSR Modeling within the CIO and Finance organizations. This in-office role focuses on advanced investment analysis and model governance.

You will collaborate with senior portfolio managers to develop term structures, cashflow models, and risk metrics for Agency MBS and MSR positions, ensure model validation, and communicate findings to stakeholders.

Qualifications

• 8+ years in sell-side or buy-side investment modeling.
• Modeling: term structure, mortgage rate propagation, prepayments, cashflow modeling with econometrics background.
• Fluent in Python/SQL for loan-level data research.
• Advanced quantitative degrees (PhD or master's in engineering, math, statistics, finance) preferred.

Responsibilities

• Act as analytical partner to Portfolio Management to manage risk and conduct investment analysis on Agency MBS and MSR positions.
• Develop and implement interest rate term structure and cashflow models for MSR and Agency MBS; integrate in risk/valuation systems.
• Monitor model performance and ensure governance with Risk and control functions.
• Provide strategic analytical insights and consult on model improvements for regulatory and business needs.

Skills

8+ years experience

Mortgage modeling

Python/SQL

Advanced degrees preferred

Education

Bachelor's

Advanced degree (PhD or master's)

Job description

PNC Financial Services Group, Inc. in New York City invites a Managing Director to lead Agency MBS & MSR Modeling within the CIO and Finance organizations. This in-office role focuses on advanced investment analysis and model governance.

You will collaborate with senior portfolio managers to develop term structures, cashflow models, and risk metrics for Agency MBS and MSR positions, ensure model validation, and communicate findings to stakeholders.