At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. As a Director or Managing Director in ALM – Portfolio Management, you will be based in New York, NY.
The successful candidate will be a key contributor to a team which manages 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 successful candidate will have the opportunity to work directly with senior portfolio managers and PNC’s CIO.
The ideal candidate will have in-depth knowledge and experience trading in various fixed income investment products, preferably Rates and/or liquid trading products such as swaps, swaptions, futures and futures options, Treasuries, STRIPS, TIPS, and mortgage-backed securities.
Additionally, the candidate will have a well-rounded skill-set that includes programming/statistical capabilities (preferably with market research and trading applications), experience with valuation and risk modeling for fixed income products, balance sheet and deposit modeling, finance and accounting knowledge, interpersonal skills for working within a team atmosphere, project management experience, and the ability to provide practical solutions for improving investment performance and risk management.
Potential areas of focus may include (and will be highly visible within the firm):
1) Rates Trading and Research
a. Rates portfolio trading (e.g. swaps, UST, STRIPS, TIPS), derivatives hedging (debt issuance, asset swaps, cash flow hedges), mortgage servicing rights hedging
b. Bank securities and derivatives portfolio: risk, returns, and attribution tracking
c. Trade idea generation and construction
2) Bank balance sheet modeling, risk/analytics, returns performance, and trading/hedging strategies
3) LIBOR fallback and SOFR transition; primarily for derivatives but coordinated throughout all banking products and asset classes
4) Hedge accounting strategies for derivatives (latest FASB rule updates, regression testing, ineffectiveness accounting)
5) Deposits modeling
6) Funds Transfer Pricing
7) OTC and Futures clearing
8) Regulatory and Compliance: Volcker rule, derivatives reporting, internal investment policy documentation, etc.
9) CCAR/DFAST stress testing
10) Model validation and documentationJob Profile
- As an ALM Director/ALM MD, this role will execute and lead business strategy, process improvements, and may perform activities related to regulatory requirements. Performs financial analysis and portfolio level analysis, conducts research, and prepares and delivers presentations. May participate in stress testing efforts.
- Utilizes a working knowledge of financial instruments and research to contribute in the decision making process for the bank's investment portfolio, balance sheet or liquidity and capital planning. Consults with the business and senior management on relevant regulations.
- Oversees and manages projects and analytics/stress testing deliverables which could include creation, maintenance and utilization of management reports to help the group meet their goals and directives. Interacts with internal/external service partners, including broker/dealers and/or analytics providers, senior team members and leverages their knowledge.
- May provide input into business decisions, procedures and requirements.
- May be involved in execution of business strategy, process improvement and responses. May also be responsible to present recommendations to management and key stakeholders.
Builds Winning Teams - Extensive Experience
- Develops talent by creating engaged, inclusive and diverse teams who are empowered to speak freely and act with integrity.
Drives for Results - Extensive Experience
- Demonstrates energy and a desire to succeed; follows through on commitments; pushes self and others to deliver exceptional results.
Establishes Vision and Purpose - Extensive Experience
- Creates a compelling vision of the future and translates it into action, linking others' contributions to the success of PNC.
Leads Effective Change - Working Experience
- Recognizes the need for, takes personal accountability to adapt, and leads others through organizational change.
Manages Risk - Extensive Experience
- Assesses and effectively manages all of the risks associated with their business objectives and activities to ensure activities are in alignment with the bank's and unit's risk appetite and risk management framework.
Customer Focus - Extensive Experience
- Knowledge of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions, and ability to leverage that information in creating customized customer solutions.
Job Specific Competencies
Asset and Liability Management (ALM) - Extensive Experience
- Knowledge of asset and liability tools, techniques and business practices; ability to manage, measure, and monitor risks associated with assets and liabilities.
Effective Communications - Extensive Experience
- 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.
Market Risk - Extensive Experience
- Knowledge of processes, tools, and techniques used for analyzing market risk; ability to assess and manage investment exposures to market risk.
Regulatory Environment - Financial Services - Extensive Experience
- Knowledge of and ability to help an organization adapt to applicable federal, state, local, and company-specific regulations, policies, and guidelines affecting business practices.
Portfolio Management - Working Experience
- Knowledge of and ability to utilize the tools, techniques, and acceptable business practices associated with managing a client's securities investments.
Pricing Models and Analytics - Extensive Experience
- Knowledge of pricing tools, techniques and methods; ability to assess analytical and pricing models through the use of statistical principles.
• Bank investment portfolio and balance sheet experience highly preferred. Interest-rate derivative trading experience is also highly preferred.
• A quantitatively focused graduate degree (engineering, math, stats, physics, etc) is preferred.
• CFA is also preferred.
• The candidate should be comfortable instructing junior coders as well as experience directly coding in a variety of languages which might include SQL, Python, VBA, C++, R/Shiny.
• The candidate should have experience in a variety of valuation and risk applications:
o Murex and QRM are both highly preferred
o Aladdin and/or Yield Book preferred
o Experience with derivatives pricing libraries (internal or open source such as QuantLib)
• Background in statistics (comfortable scrubbing and transforming large data sets, regression analysis, time series modeling, and probability with a firm grasp on benefits and limitations of various techniques).
• Background in financial mathematics: differential equations, calcRequired Education and Experience
Roles at this level typically require a university / college degree. Higher level education such as a Masters degree, or PhD is desirable. Industry experience is typically 8 + years. Specific certifications are often required. In lieu of a degree, a comparable combination of education and experience (including military service) may be considered.EEO Statement
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.
Location/Region: New York, NY