ALM DIRECTOR – BALANCE SHEET ANALYTICS & MODELING
PNC, New York, NY
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The PNC Financial Services Group, Inc. seeks an ALM (Asset & Liability Management) Director – Balance Sheet Analytics & Modeling in New York, NY. As Director of the ALM PPNR Model Development team, will be responsible for development and maintenance of econometrics models for balance/revenue projections on PNC businesses, in compliance with CCAR (Comprehensive Capital Analysis and Review) stress testing and CECL (Current Expected Credit Loss) requirements. Work closely with business partners, independent risk management and audit, and frequently present work to senior PNC executives and regulators. Specific duties include: (i) build and maintain econometrics models for balance/revenue projections on PNC businesses, in compliance with CCAR and CECL requirements; (ii) perform statistical and financial analysis and stress testing, and conduct research and prepare and deliver presentations; (iii) based on own discretion, collect and research statistical information for PNC’s balance sheet; (iv) analyze, review, and present statistical risk analytics/stress testing material, including documentation and templates to senior team members; (v) work with various review teams, including model risk management, and internal/external audit and regulators and provide recommendations to lines of business in understanding insights of specific line items of PNC’s balance sheet and income statement; (vi) execute business strategy, process improvements and remediation activities, and manage ALM staff and processes; (vii) conduct quality assurance and quality control for model development and deployment; and (viii) monitor model performance on an ongoing basis.
Master’s degree Quantitative Finance, Mathematics, or Statistics, plus 6 years of experience requiring data analysis and econometrics modeling in a banking, risk management, or academic position. Must have experience with: (i) time series modeling including ARIMA, ARCH, GARCH and Error Correction Model; (ii) Pre-Provision Net Revenue modeling in compliance with the CCAR/DFAST requirements; (iii) balance sheet and income statement data analysis and modeling; (iv) prepayment behavior and modeling; (v) statistical computing and multivariate regression modeling; (vi) knowledge of retail bank products including credit card, mortgage, and home equity; (vii) knowledge of commercial bank products including commercial and industrial and commercial real estate; (viii) machine learning and stochastic numerical methods; (ix) point estimation, confidence interval, statistical inference, and hypothesis testing; (x) Monte Carlo simulation including stochastic processes; (xi) Quality Assurance and Quality Control for model development and deployment; (xii) monitoring model performance, usage and assumption; and (xiii) data analysis and modeling using SAS, SAS Enterprise Miner, SQL, R, Python, and Excel.Competencies
Asset and Liability Management (ALM) – Knowledge of asset and liability tools, techniques and business practices; ability to manage, measure, and monitor risks associated with assets and liabilities.
Data Gathering and Reporting – Knowledge of and ability to utilize tools, techniques and processes for gathering and reporting data in a particular department or division of a company.
Decision Making and Critical Thinking – Understanding of the issues related to the decision-making process; ability to analyze situations fully and accurately, and reach productive decisions.
Effective Communications – 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 – 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 – Knowledge of and ability to help an organization adapt to applicable federal, state, local, and company-specific regulations, policies, and guidelines affecting business practices.
Disability Accommodations Statement
The PNC workplace is inclusive and supportive of individual needs. If you have a physical or other impairment that might require an accommodation, including technical assistance with the PNC Careers website or submission process, please call 877-968-7762 and select Option 4: Recruiting or contact us via email at firstname.lastname@example.org. The Human Resources Service Center hours of operation are Monday - Friday 9:00 AM to 5:00 PM ET.
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.
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