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Quantitative Analytics /Modeling Consultant

Company: PNC Financial Services Group, Inc.
Location: New York
Posted on: November 26, 2022

Job Description:

Position OverviewJob Description SummaryAt PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. As a Quantitative Analytics /Modeling Consultant in ALM Investments - Portfolio Management, you will be based in New York, NY.The successful candidate will join our ALM modeling team to support CIO-Treasury team to manage a broad portfolio of fixed income assets and derivative products. This is a front-office, buy-side position within the investment management arm of PNC's bank portfolio (ALM Investments). The ideal candidate will have in-depth knowledge and experience in modeling fixed income investment products such as swaps, swaptions, futures and futures options, Treasuries, and mortgage-backed securities. Experience with LIBOR transition is preferred. Additionally, the candidate will have a well-rounded skill-set that includes programming/statistical capabilities, experience with valuation and risk modelling for fixed income products, finance and accounting knowledge, interpersonal skills for working within a team atmosphere.Potential areas of focus may include:1) Testing and validating third party models used for portfolio risk management. 2) Monitoring model performance such as interest rate models and derivatives pricing models. Resolve any issues on production models. 3) Conducting model update impact analysis on ALM portfolios. 4) Conduct research on new models. Experience with LIBOR transition is preferred, particular on SOFR derivatives such as SOFR swap and swaptions. 5) Preparing model documentation and validation materials for MRMG.This position is primarily based in a location within PNC's footprint. Preferred locations are listed in this requisition. Responsibilities require time in the office or in the field on a regular basis. Some responsibilities can be performed remotely. Additional locations may be considered.Job Description

  • 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.PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be:
    • Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions.
    • Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.CompetenciesBank Quantitative Analysis - Knowledge of and ability to use numerical methods to develop statistical models for devising trading strategies.Consulting - Knowledge of techniques, roles, and responsibilities in providing technical or business guidance to clients, both internal and external; ability to apply this knowledge appropriately to diverse situations.Data Gathering and Reporting - Knowledge of and ability to utilize tools, techniques and processes for gathering and reporting data in a particular department or division of a company.Effective Communications - Understanding of effective communication concepts, tools and techniques; ability to effectively transmit, receive, and accurately interpret ideas, information, and needs through the application of appropriate communication behaviors.Predictive Analytics - Knowledge of, experience with and ability to use the tools, processes and practices for predicting business trends and providing forecasts that drive business decisions and business planning.Quantitative Techniques - Knowledge of and ability to use quantitative tools and techniques to measure and analyze risks.Regulatory Environment - Financial Services - Knowledge of and ability to help an organization adapt to applicable federal, state, local, and company-specific regulations, policies, and guidelines affecting business practices.Testing - Knowledge of and ability to plan, implement and manage testing strategies, policies and practices that assure the delivery of high quality applications.Work ExperienceRoles at this level typically require a university / college degree, with 5+ years of industry-relevant experience. Specific certifications are often required. In lieu of a degree, a comparable combination of education and experience (including military service) may be considered.EducationBachelorsAdditional Job DescriptionCOMPENSATIONBase Salary: - 84,500 - 179,40Placement within the compensation range is based on the specific role and the following factors:
      • Individual salary may vary by geographic location / market data
      • Lower in range - Building skills and experience in the job -
      • Mid-range - Experience and skills align with proficiency in the role -
      • Higher in range - Experience and skills add value above typical requirements of the roleBenefitsPNC offers employees 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; maternity and parental leave; paid holidays, vacation days and occasional absence time; 401(k), pension and stock purchase plans; dependent care reimbursement account; back-up child/elder care; adoption assistance; educational assistance and a robust wellness program with financial incentives. To learn more about these and other programs, including benefits for part-time employees, visit > New to PNC.Disability Accommodations Statement:The PNC workplace is inclusive and supportive of individual needs. If you have a physical or other impairment that might require an accommodation, including technical assistance with the PNC Careers website or submission process, please call 877-968-7762 and select Option 4: Recruiting or contact us via email at -The Human Resources Service Center hours of operation are Monday - Friday 9:00 AM to 5:00 PM ET.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 to gain understanding of how PNC may use or disclose your personal information in our hiring practices.

Keywords: PNC Financial Services Group, Inc., New York , Quantitative Analytics /Modeling Consultant, Professions , New York, New York

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