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About the Role

The Agency MBS Modeler will be responsible for model development and research related to the Agency MBS investment portfolio. This role involves updating and developing industry-leading prepayment, term structure, and mortgage rate models. The candidate will understand prepayment behavior and conduct analysis to enhance the Agency MBS modeling and generate insights to support investment analysis.

Responsibilities

• Performs complex quantitative analyses and models development to support decision-making by running quantitative strategies.
• Develops new model frameworks by supporting the line of business.
• Refines, monitors, and validates existing models.
• Conducts on-going communication with model owners and model developers during the course of the review.
• Works with large data to create models.
• Performs advanced qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity.
• Reviews reports and associated quantitative analysis.
• Validates existing models and assesses model risks.
• Evaluates identified model risks and reaches conclusions on strengths and limitations of the model.
• Prepares and analyzes detailed documents for validation and regulatory compliance, using applicable templates.

Requirements

• Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role.
• This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.

Skills

• Analytical Thinking
• Credit Risks
• Data Analytics
• Financial Analysis
• Model Development
• Operational Risks
• Quantitative Models
• Risk Appetite
• Bank Quantitative Analysis
• Consulting
• Data Gathering and Reporting
• Effective Communications
• Predictive Analytics
• Quantitative Techniques
• Regulatory Environment - Financial Services
• Testing

Location

• New York, NY
• Pittsburgh, PA

Work Type

• In-office

Experience Level

• 5+ years of industry-relevant experience

Education Level

• Bachelors

Salary/Compensations

• $109,200.00 – $202,800.00

Benefits

• 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
• maternity and/or parental leave
• up to 11 paid holidays each year
• 9 occasional absence days each year, unless otherwise required by law
• between 15 to 25 vacation days each year, depending on career level
• years of service

About the Company

• 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 is an in-office company that fosters a supportive culture where employees can thrive and achieve balance.
• For nearly 160 years, PNC has strived to make a meaningful impact for our employees, customers, communities, and shareholders.
• We believe our success and positive reputation are built on open and honest dialogue, an unwavering focus on smart risk management, relationship-based customer service and community investments.
• Our inclusive workplace allows our employees to be heard, valued, and developed to do their best work.
• Being a great place to work means we are making a lasting difference for everyone we serve.
• PNC’s total rewards package includes things like time off, benefits, learning and career development, wellness programs, recognition and much more.

Equal Opportunity

• 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.