ALM Senior Associate - Portfolio Management

PNC • New York, NY

1d • $153,000 - $208,000

About The Position

The PNC Financial Services Group, Inc. seeks an ALM (Asset & Liability Management) Senior Associate – Portfolio Management in New York, NY. Specific duties include: (1) using independent judgment and discretion, perform transaction and portfolio level analysis, conduct research and prepare reports, and perform due diligence and statistical analysis related to portfolio management; (2) utilize a working knowledge of financial instruments for the bank's investment portfolio, including research and collection of relevant information; (3) develop and maintain management reports that help the team meet their goals and directives. These reports are used for internal management to help establish the risk position of the organization; (4) using discretion, identify problems in analytics and develop solutions; (5) interact with internal/external service partners, including broker dealers and/or analytics providers, and leverage their knowledge; (6) administer and perform defined processes and procedures; and (7) maintain knowledge of markets and macroeconomics, make associated recommendations, and assess the potential impact of these on ALM and the assigned business unit.

Requirements

• Master’s degree in Statistics, Mathematics, Economics, Business, Financial Engineering or Computational Finance, plus 3 years of experience using computational finance techniques, including interest rate term structure models, simulations, and derivatives pricing, in or for the financial services industry is required.
• Must have experience with: (1) interest rate term structure models and derivative pricing models to assist in price discovery; (2) building statistical and machine learning tools to analyze market structure; (3) using Monte Carlo simulation methods to value and analyze complex fixed income instruments and investments; (4) developing derivative pricing tools using pricing libraries including Quantlib for valuation of fixed income portfolios and validation of pricing tools; (5) using financial tools including Bloomberg and Numerix for market data extraction and validation; and (6) using SQL, VBA, C++, and Python programming languages for fixed income analysis and model development.

Responsibilities

• Perform transaction and portfolio level analysis, conduct research and prepare reports, and perform due diligence and statistical analysis related to portfolio management.
• Utilize a working knowledge of financial instruments for the bank's investment portfolio, including research and collection of relevant information.
• Develop and maintain management reports that help the team meet their goals and directives.
• Identify problems in analytics and develop solutions.
• Interact with internal/external service partners, including broker dealers and/or analytics providers, and leverage their knowledge.
• Administer and perform defined processes and procedures.
• Maintain knowledge of markets and macroeconomics, make associated recommendations, and assess the potential impact of these on ALM and the assigned business unit.

Benefits

• PNC 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 pncthrive.com.
• PNC’s total rewards package includes things like time off, benefits, learning and career development, wellness programs, recognition and much more.
• The benefits and programs highlighted below are just a sampling of what PNC offers its employees.
• To learn more, visit our Total Rewards page.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level