Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)

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. As a Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)within PNC's Finance organization, you will be based in New York City, NY. PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

The CIO Modeling team develops, maintains, and monitors models supporting PNC's investment securities, residential mortgage loans and mortgage servicing portfolios. In partnership with portfolio managers and key stakeholders, the team delivers robust valuation, forecasting, and risk measurement capabilities to inform business decisions.

Overview The candidate will serve as the Modeling team's analytical partner to Portfolio Management within the CIO team, developing and enhancing models that drive Agency MBS and Mortgage Servicing Rights (MSR) investment and risk management decisions. This is a highly visible, buy-side-facing role working alongside senior portfolio managers and PNC's CIO. • Act as the dedicated analytical partner to the Portfolio Management team to manage risk and conduct investment analysis on Agency MBS and MSR positions. Examples of analyses include prepayment behavior of specific collateral types, empirical risk characteristics of CMO structures • Develop interest rate term structure, mortgage rate propagation and cashflow models to manage MSR and Agency MBS positions. Implement the models in the relevant risk and valuation systems • Monitor model performance and engage with Risk and other control functions to ensure proper model governance Requirements • 8+ years in a sell-side or buy-side institution e.g. fixed income research, prepayment modeling, MSR investment team, or an Agency MBS dealer desk with demonstrated experience supporting PMs or traders. • Modeling skill set: term structure, mortgage rate propagation, prepayments, and cashflow modeling; strong empirical research, econometrics, and statistics background (regression, time series). • Fluent in Python/SQL for empirical research on loan-level data. Solid financial mathematics foundation (bond math, options pricing). • Advanced quantitative degrees are strongly preferred (PhD, or master's in engineering, math, statistics, finance); In office, New York, NY. PNC is an in-office company that fosters a supportive culture where employees can thrive and achieve balance. We encourage candidates to connect with their recruiter and hiring manager to understand workplace expectations and ensure the role aligns with their goals.   PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

Provides strategic and analytical insights around quantitative analyses, processes, and validations. Reviews complex quantitative analyses and models and engages with the Line of Business to enhance model development by incorporating business feedback. Oversees the development of new model frameworks by supporting the line of business and provides consultative feedback around improvements. Reviews any recommended changes to existing models. Conducts executive level communication during the course of the review. Performs the most complex 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 and provides analytical insight into potential areas of improvement. Reviews validation of existing models and assesses model risks. Reviews the evaluations of identified model risks and provides high level