PNC ALM Investments – Portfolio Management Director 

United States, New York, New York 

554545204

Potential areas of focus may include (and will be highly visible within the firm):
1) Quantitative tools for Interest Rates trading and research
a. Rates portfolio investments (e.g. swaps, UST, STRIPS, TIPS), derivatives hedging (debt issuance, asset swaps, cash flow hedges), mortgage servicing rights hedging
b. Bank portfolio securities and derivatives: risk, returns, and attribution tracking
c. Derivatives pricing libraries (internal or open source such as QuantLib)
d. Trade idea generation and construction
2) Fixed Income modelling, risk/analytics, returns performance, and trading strategies
3) OTC derivatives, Futures, and US Treasury clearing
4) Mortgage Servicing Rights (MSRs)Other Specifications for the Role:Empirical research and data analysis is preferred.
Experience in interest rate products and mortgage servicing is highly preferred.
A quantitatively focused graduate degree (e.g. engineering, math, statistics, physics, etc) is preferred.
The candidate should be comfortable directly programming in a variety of languages which might include SQL, Python/Dash, VBA, C++, R/Shiny.
Background in statistics or data science (regression analysis, time series modeling, and probability with a firm grasp on benefits and limitations of various techniques).
Background in financial mathematics: differential equations, calculus, linear algebra, bond math, options pricing.

Job Description

• Leads transaction and portfolio level analysis, conducts research and prepares reports. Performs due diligence and statistical analysis related to portfolio management.
• Utilizes a working knowledge of financial instruments for the bank's investment portfolio, including research and collection of relevant information to contribute to investment decision making process and development of investment/trading strategies.
• Oversees new projects and analytics which may include creation, maintenance and utilization of management reports to help the group meet their goals and directives. Interacts with internal/external service partners, including broker dealers and/or analytics providers, and leverages their knowledge.
• Develops, administers and performs defined processes and procedures.
• Makes recommendations based on knowledge of markets and macroeconomics, banking and regulatory requirements; assesses the potential impact of these on ALM and the assigned business unit.

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

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and requiredneeded to be successful in this position.

Asset and Liability Management (ALM), Industry Knowledge, Investments, Market Risk, Portfolio Management, Pricing Models and Analytics, Regulatory Environment - Financial ServicesRoles at this level typically require a university / college degree. Higher level education such as a Masters degree, PhD, or certifications is desirable. Industry relevant experience is typically 8+ years. Specific certifications are often required. In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered.No Required Certification(s)No Required License(s)PNC offers a comprehensive range of benefits to help meet your needs now and in the future. Depending on your eligibility, options for full-time employees include: medical/prescription drug coverage (with a Health Savings Account feature), dental and vision options; employee and spouse/child life insurance; short and long-term disability protection; 401(k) with PNC match, pension and stock purchase plans; dependent care reimbursement account; back-up child/elder care; adoption, surrogacy, and doula reimbursement; educational assistance, including select programs fully paid; a robust wellness program with financial incentives. In addition, PNC generally provides the following paid time off, depending on your eligibility*: maternity and/or parental leave; up to 11 paid holidays each year; 8 occasional absence days each year, unless otherwise required by law; between 15 to 25 vacation days each year, depending on career level; and years of service.

California Residents

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