ALM Senior Associate - Portfolio Management

Job Profile The PNC Financial Services Group, Inc. seeks an ALM (Asset & Liability Management) Senior Associate – Portfolio Management in New York, NY. Specific duties include: Using independent judgment and discretion to perform transaction and portfolio level analysis, conduct research, 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. 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: Interest rate term structure models and derivative pricing models to assist in price discovery. Building statistical and machine learning tools to analyze market structure. Using Monte Carlo simulation methods to value and analyze complex fixed income instruments and investments. Developing derivative pricing tools using pricing libraries including Quantlib for valuation of fixed income portfolios and validation of pricing tools. Using financial tools including Bloomberg and Numerix for market data extraction and validation. 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. 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. 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. This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history. #J-18808-Ljbffr Fairygodboss