Quantitative Research Analyst, Mortgages
PIMCO · London, United Kingdom · 2mo ago
PIMCO is a global leader in active fixed income with deep expertise across public and private markets. We invest our clients’ capital across a range of fixed income and credit opportunities, leveraging our decades of experience navigating complex debt markets. Our flexible capital base and deep relationships with issuers have helped us become one of the world’s largest providers of traditional and nontraditional solutions for companies that need financing and investors who seek strong risk-adjusted returns.
Since 1971, our people have shaped our organization through a high-performance inclusive culture, in which we celebrate diverse thinking. We invest in our people and strive to imprint our CORE values of Collaboration, Openness, Responsibility and Excellence. We believe each of us is here to help others succeed and this has led to PIMCO being recognized as an innovator, industry thought leader and trusted advisor to our clients.
JOB DESCRIPTION
The alternatives business at PIMCO continues to expand its fund offerings and remains a key growth area for the firm. We are seeking a quantitative analyst / desk quant to join our London front office trading mortgages analytics team to support this expansion and assist Portfolio Managers in their investment and asset management decisions.
The chosen candidate will be highly technical and have a good understanding of mortgage analytics / modelling. Ideally you will have a front office quant (sell or buy side) background and be proficient in developing new pricing models and implementing into Python code. An ability to develop new approaches to pricing bespoke transaction features is important, as is experience with working with, and contributing to, large coding infrastructures. Ability to work closely with Portfolio Managers and build strong relationships is highly desirable.
RESPONSIBILITIES
Coverage includes RMBS and broader ABS markets across core and peripheral Europe (UK, Netherlands, Spain, Italy), spanning both liquid and illiquid opportunities
Focus on non-agency and complex structures, including mezzanine/equity tranches and legacy dislocated securitized assets
Significant exposure to non-performing and re-performing loan (NPL/RPL) securitizations and whole loan portfolios within private structures
Emphasis on loan-level and cashflow modelling across illiquid mortgage credit, including collateral analysis, recovery assumptions and structural waterfalls
REQUIREMENTS
Masters degree or PhD in Mathematics, Physics (non-experimental), Probability/Statistics, Engineering, or (Mathematical) Finance
Must have a familiarity with mortgage products, Intex and data analysis or empirical modelling is a strong plus alongside asset-backed structured products
Minimum of 3 years of relevant professional experience at a top sell-side or buy-side institution in a front office quantitative role
Exceptional quant / analytical skills – knowledge of advanced pricing techniques (Monte Carlo, prepayment modelling and scenario engines), asset pricing theory, probability theory, and cash flow / bond maths (e.g. OAS calculations)
Experience designing, coding, and implementing pricing and surveillance frameworks for automation / streamlining of tasks
Strong coding skills in Python – candidates for whom Python experience is limited to occasional / hobby usage should not apply
Familiar with statistical coding packages and modelling in SAS, R or Python
Working knowledge of Linux/Unix/Bash and SQL would be a plus.
Equal Employment Opportunity and Affirmative Action Statement
PIMCO recruits and hires qualified candidates without regard to race, national origin, ancestry, religion (including religious dress and grooming practices), sex (including pregnancy, childbirth, breastfeeding, or related medical conditions), sexual orientation, gender (including gender identity and expression), age, military or veteran status, disability (physical or mental), any factor prohibited by law, and as such affirms in policy and practice to support and promote the concept of equal employment opportunity and affirmative action, in accordance with all applicable federal, state, provincial and municipal laws. The company also prohibits discrimination on other basis such as medical condition, or marital status under applicable laws.
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