SVP, Quantitative Rates Research Analyst
We are PIMCO, a leading global asset management firm. We manage investments and develop solutions across the full spectrum of asset classes, strategies and vehicles: fixed income, equities, commodities, asset allocation, ETFs, hedge funds and private equity. PIMCO is one of the largest investment managers, actively managing more than $1.84 trillion in assets for clients around the world. PIMCO has over 2,700 employees in 17 offices globally. PIMCO is recognized as an innovator, industry thought leader and trusted advisor to our clients.
PIMCO is one of the world's premier fixed income investment managers with thousands of professionals around the world united in a single purpose: creating opportunities for our clients in every environment. Since 1971, we have brought innovation and expertise to our partnership with the institutions, financial advisors and millions of individual investors who entrust us with their assets. We aspire to cultivate performance and leadership through empowering our people, diversity of thought, and a commitment to an inclusive culture that engages in our global communities. Position Description:
We are looking for a seasoned interest rate quant to help lead enhancements of PIMCO's analytics for interest rate products.
The function is that of an interest rate quant supporting the specialist portfolio managers for interest rate and FX products, specifically:
- Develop enhancements to the design of Pimco's C++ libraries for interest rate product pricing and risk management. Examples include ongoing improvements to Pimco's interest rate and bond curve library, development of models for non-vanilla interest rate products, interface architecture for integration with the wider pricing and risk management systems
- Develop enhancements to the Python eco-system for rapid development of pre-trade analytics used by portfolio managers, in particular to help leverage PIMCO's stake in Beacon Platform Inc (see www.beacon.io)
- Mentor more junior members of the team
- Provide quantitative support and expertise to portfolio managers
The candidate should be a seasoned interest rate quant, typically with 6+ years of experience either on the sell-side or a strong buy-side organization. The position reports to the global head of Rates Analytics, and will help further the global development of PIMCO's interest rate analytics while enhancing the ability of the group to serve portfolio managers globally. The position is intended to be based either in Newport Beach or London. Flexibility to travel is a prerequisite. Position Requirements:
- Master's degree in a quantitative discipline such as mathematics, financial economics, econometrics, physics. A PhD degree would be useful, but is not a necessary condition.
- 6+ years of experience either on the sell-side or a strong buy-side organization.
- Strong expertise in stochastic interest rate modelling with a view to pricing, relative value assessment, and risk management of interest rate options
- Strong technical expertise in vanilla interest rate products, particularly with regards to post 2008 pricing adjustments like xccy basis, tenor basis, collateral discounting
- Familiarity with non-USD interest rate markets is very useful, particular with regards to the G10 currencies
- Strong general quantitative skills, specifically financial mathematics, probability, statistics, econometrics.
- Proficient programming in C++ and python
- An emerging markets fixed income background is a possibility for an outstanding candidate looking to branch out into more developed markets
PIMCO is committed to offering a comprehensive portfolio of employee benefits designed to support the health and wellbeing of you and your family. Benefits vary by location but may include:
- Medical, dental, and vision coverage
- Life insurance and travel coverage
- 401(k) (defined contribution) retirement savings, retirement plan, pension contribution from your first day of employment
- Work/life programs such as flexible work arrangements, parental leave and support, employee assistance plan, commuter benefits, health club discounts, and educational/CFA certification reimbursement programs
- Community involvement opportunities with The PIMCO Foundation in each PIMCO office