PNC Portfolio Analysis Strategy Manager 

United States, Pennsylvania, Pittsburgh 

595784121

Master's degree in Finance, Computational Finance, Financial Engineering, Applied Mathematics, or Economics plus 3 years of experience conducting quantitative analysis in the financial services industry working with investment portfolios, portfolio optimization models and financial risk management is required. Must have experience with: (i) mathematics of financial instruments (bond pricing via Discounted Cash Flows, options pricing via Stochastic Calculus Equations and other securities to include futures and swaps), and marketed securities (United States Treasury (UST) Instruments, Asset-Backed Securities, Stocks and ETFs); (ii) programming/tools: databases via SQL and open source, specifically Python and R; Microsoft Excel to include pivot tables, V-lookups, linear regressions, and Boolean indexing; (iii) application of Statistical Modeling (distribution fitting, hypothesis testing and stochastic simulation) and optimization models via Operations Research (linear and quadratic programming and numerical analysis); (iv) onboarding of third party data, financial model vendors and financial services vendors; (v) regulatory and auditing requests and responses in the financial services industry; (vi) managing quantitative and analytic staff, to include technical training (computer programming, financial markets and marketed securities, and applied mathematics); (vii) quantitative and analytic presentations, particularly to Senior Leadership and Partners with no technical background; and (viii) measuring financial risk (Value at Risk, Expected Shortfall, statistical variance, tracking error).

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