ALM Investments - Portfolio Management - Director (IC)

Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company's success.

PNC's CIO team is searching for an experienced quantitative researcher and modeler. As a Director in ALM Investments - Portfolio Management, you will be based in New York, NY.

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)

This is a front-office, buy-side position within the investment management arm of PNC's bank portfolio (ALM Investments). The successful candidate will have the opportunity to work directly with senior portfolio managers and PNC's CIO.

The successful candidate will be a key contributor to a team which manages a broad portfolio of fixed income assets and derivative products.

The ideal candidate will have in-depth knowledge and experience in various fixed income investment products, preferably products such as interest rate swaps, swaptions, financial futures and options, Treasuries, STRIPS, TIPS, and mortgage servicing.

Additionally, the candidate will have a well-rounded skill-set that includes programming / statistical capabilities (preferably with market research and valuation applications), experience with valuation and risk modelling for fixed income products, interpersonal skills for working within a team atmosphere, and the ability to provide practical solutions for improving investment performance and risk management.

This role will require the candidate to be a highly proactive self-starter that is also capable of spurring production from other members of the team or across teams within PNC. Strong communication and interpersonal skills are necessary for working in this highly collaborative environment.

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.

PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

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 :

Qualifications

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

Preferred Skills

Asset Allocation, Auditing Operations, Business Case Analyses, Credit Risk Analysis, Data Analytics, Data Visualization, Decision Making, Investments, Market Research

Competencies

Asset and Liability Management (ALM), Industry Knowledge, Investments, Market Risk, Portfolio Management, Pricing Models and Analytics, Regulatory Environment - Financial Services

Work Experience

Roles 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.

Education

Bachelors

Certifications

No Required Certification(s)

Licenses

No Required License(s)

Pay Transparency

Base Salary : $150,000.00 - $200,000.00

Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and / or individual performance.

Application Window

Generally, this opening is expected to be posted for two business days from 11 / 25 / 2024, although it may be longer with business discretion.

Benefits

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.

To learn more about these and other programs, including benefits for full time and part-time employees, visit Your PNC Total Rewards.

Disability Accommodations Statement

If an accommodation is required to participate in the application process, please contact us via email at AccommodationRequest@pnc.com. Please include "accommodation request" in the subject line title and be sure to include your name, the job ID, and your preferred method of contact in the body of the email. Emails not related to accommodation requests will not receive responses. Applicants may also call 877-968-7762 and say "Workday" for accommodation assistance. All information provided will be kept confidential and will be used only to the extent required to provide needed reasonable accommodations.

At PNC we foster an inclusive and accessible workplace. We provide reasonable accommodations to employment applicants and qualified individuals with a disability who need an accommodation to perform the essential functions of their positions.

Equal Employment Opportunity (EEO)

PNC provides equal employment opportunity to qualified persons regardless of race, color, sex, religion, national origin, age, sexual orientation, gender identity, disability, veteran status, or other categories protected by law.

California Residents

Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.

Salary : $150,000 - $200,000