Agency MBS Modeler

Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We work together each day to foster an inclusive workplace culture where all employees feel respected, valued, and have an opportunity to contribute to the company’s success.

As an Agency MBS modeler within PNC's Analytics and Modeling organization, you will be based in New York, NY, or Pittsburgh, PA. The role involves developing and researching models for the Agency MBS investment portfolio, including prepayment, term‑structure, and mortgage‑rate models, and providing insights to support investment analysis.

Job : R227529

• Performs complex quantitative analyses and model development to support decision‑making by running quantitative strategies.
• Develops new model frameworks in support of the line of business, refines, monitors, and validates existing models, and maintains ongoing communication with model owners and developers throughout the review process.
• Performs advanced qualitative and quantitative assessments on all aspects of models, including theoretical aspects, model design and implementation, data quality and integrity, 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.

• 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.

Preferred

Skills:

Analytical Thinking, Credit Risks, Data Analytics, Financial Analysis, Model Development, Operational Risks, Quantitative Models, Risk Appetite.

Competencies:

Bank Quantitative Analysis, Consulting, Data Gathering and Reporting, Effective Communications, Predictive Analytics, Quantitative Techniques, Regulatory Environment – Financial Services, Testing.

Work Experience:

Roles 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, job‑specific certification(s) and experience (including military service) may be considered.

Education:

Bachelor’s degree.

Certifications:

No required certifications.

Licenses:
No required licenses.

Base Salary: $109,200 – $202,800. Salaries may vary based on geographic location, market data, and on individual skills, experience, and education. This role is incentive‑eligible with payment based upon company, business, and/or individual performance.

PNC offers 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 coverage, employee and spouse/child life insurance, short and long‑term disability protection, 401(k) with PNC match, pension and stock purchase plans, dependent care reimbursement account, back‑up child/elder care, adoption, surrogacy and doula reimbursement, educational assistance (including select programs fully paid), and a robust wellness program with financial incentives.

PNC also provides paid time off, including maternity and/or parental leave; up to 11 paid holidays each year; 9 occasional absence days each year, unless otherwise required by law; 15 to 25 vacation days each year, depending on career level; and additional days for years of service.

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.

Refer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.