Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO)

Position Overview

At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. We work together each day to foster an inclusive workplace culture where all of our employees feel respected, valued and have an opportunity to contribute to the company’s success. As a Managing Director, Agency MBS & MSR Modeling, Chief Investment Office (CIO) within PNC's Finance organization, you will be based in New York City, NY.

PNC will not provide sponsorship for employment visas or participate in STEM OPT for this position.

About the Team

The CIO Modeling team develops, maintains, and monitors models supporting PNC's investment securities, residential mortgage loans and mortgage servicing portfolios. In partnership with portfolio managers and key stakeholders, the team delivers robust valuation, forecasting, and risk measurement capabilities to inform business decisions.

Role Overview

The candidate will serve as the Modeling team's analytical partner to Portfolio Management within the CIO team, developing and enhancing models that drive Agency MBS and Mortgage Servicing Rights (MSR) investment and risk management decisions. This is a highly visible, buy-side-facing role working alongside senior portfolio managers and PNC's CIO.

• Act as the dedicated analytical partner to the Portfolio Management team to manage risk and conduct investment analysis on Agency MBS and MSR positions. Examples of analyses include prepayment behavior of specific collateral types, empirical risk characteristics of CMO structures
• Develop interest rate term structure, mortgage rate propagation and cashflow models to manage MSR and Agency MBS positions. Implement the models in the relevant risk and valuation systems
• Monitor model performance and engage with Risk and other control functions to ensure proper model governance

Requirements

• 8+ years in a sell-side or buy-side institution e.g. fixed income research, prepayment modeling, MSR investment team, or an Agency MBS dealer desk with demonstrated experience supporting PMs or traders.
• Modeling skill set: term structure, mortgage rate propagation, prepayments, and cashflow modeling; strong empirical research, econometrics, and statistics background (regression, time series).
• Fluent in Python/SQL for empirical research on loan-level data. Solid financial mathematics foundation (bond math, options pricing).
• Advanced quantitative degrees are strongly preferred (PhD, or master's in engineering, math, statistics, finance); In office, New York, NY.

Job Description

• Provides strategic and analytical insights around quantitative analyses, processes, and validations. Reviews complex quantitative analyses and models and engages with the Line of Business to enhance model development by incorporating business feedback.
• Oversees the development of new model frameworks by supporting the line of business and provides consultative feedback around improvements. Reviews any recommended changes to existing models. Conducts executive level communication during the course of the review.
• Performs the most complex qualitative and quantitative assessments on all aspects of models including theoretical aspects, model design and implementation as well as data quality and integrity. Reviews reports and associated quantitative analysis and provides analytical insight into potential areas of improvement. Reviews validation of existing models and assesses model risks.
• Reviews the evaluations of identified model risks and provides high level consultation around recommended conclusions on strengths and limitations of the model.
• Provides consultative feedback around the preparation and analysis of regulatory compliance documents.

PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be:

• 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.

Qualifications

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

Education

• Bachelors

Certifications

• No Required Certification(s)

Licenses

• No Required License(s)

Language Assessments

• No Required or Preferred Language Assessments

Pay Transparency

Base Salary: $159,600.00 – $296,400.00

Salaries may vary based on geographic location, market data and on individual skills, experience, and education. This role is incentive eligible with the payment based upon company, business and/or individual performance.

Application Window

Generally, this opening is expected to be posted for two business days from 09/17/2026, although it may be longer with business discretion.

Benefits

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 options; 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; a robust wellness program with financial incentives.

In addition, PNC generally provides the following paid time off, depending on your eligibility: maternity and/or parental leave; up to 11 paid holidays each year; 9 occasional absence days each year, unless otherwise required by law; between 15 to 25 vacation days each year, depending on career level; and years of service.

To learn more about these and other programs, including benefits for full time and part-time employees, visit pncthrive.com.