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ALM Director - Balance Sheet Analytics

Company: The PNC Financial Services Group, Inc.
Location: New York
Posted on: November 20, 2019

Job Description:

ALM Director -- Balance Sheet Analytics The PNC Financial Services Group, Inc. seeks an ALM Director -- Balance Sheet Analytics in New York, NY. As a member of an analytics and investments team within Portfolio Management, this position will provide asset and liability activities. Duties include: (i) develop statistical and stochastic calculus models to compare investment possibilities and drive value, and utilize machine learning, statistical inference and stochastic numerical methods; (ii) research to contribute to investment decision making process and development of investment/trading strategies within Fixed Income markets; (iii) develop, maintain and utilize management reports and new projects for management that help the Group meet their goals and directives and help establish the risk position of the organization. Using discretion, identify problems in analytics and develop solutions. Interact with internal/external service partners, including broker dealers and/or analytics providers, and leverage their knowledge; (iv) develop, administer and perform defined processes and procedures for PnL attribution, returns calculations and risk management; (v) survey the fixed income markets and bonds to recommend trades and portfolio composition changes. Handle large amount of data and market related conventions to properly ascertain risk on investments; (vi) develop and deploy advanced software programs and algorithms to understand the market bond inventory, market prices movements and trade transactions; and (vii) maintain knowledge of markets and macroeconomics and may make associated recommendations. Assess the potential impact of these on ALM and the assigned business unit. Master's degree in Business Administration, Computation/Quantitative Finance, Mathematics, or Statistics, and 6 years of experience utilizing data analysis in a banking, insurance, risk management, or an academic position is required. Must have experience with: (i) SAS, SQL, VBA, Excel, C++, and MBRM (MB Risk Management) software on fixed income; (ii) Wall Street derivative pricing platforms; database design and development using Microsoft SQL server; (iii) trading, valuing, and performing risk analysis on diversified income derivative portfolios; (iv) interest rate derivatives pricing modeling; (v) statistical computing and investment analysis; (vi) quantitative finances including option pricing theory, interest rate models and stochastic calculus; (vii) prepayment behavior and modeling; (viii) regulatory modeling (CCAR/DFAST); (ix) retail bank products and risk modeling including credit card, mortgage, and home equity; (x) commercial bank products and risk modeling including commercial real estate; (xi) machine learning and stochastic numerical methods; (xii) point estimation, confidence interval, statistical inference, and hypothesis testing; (xiii) stochastic processes including random walk, Brownian motion, Ito process, and Poisson process; and (xiv) time series models including ARIMA, ARCH, and GARCH. 40 hours/week, 8:00 a.m. -- 5:00 p.m. Interested individuals apply online at using keyword R012559. 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.T Jobs. Keywords: Broker, Location: New York, NY - 10173

Keywords: The PNC Financial Services Group, Inc., New York , ALM Director - Balance Sheet Analytics, Accounting, Auditing , New York, New York

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