ALM Senior Associate - Portfolio Management

PNC • New York, NY

38d • $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.
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.
40 hours/week, 8:00 a.m.–5:00 p.m., $153,000 - $208,000/yr.

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

• 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
• 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. These reports are used for internal management to 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
• 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.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Number of Employees: 5,001-10,000 employees