Head of Quantitative Rates Analytics
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:
PIMCO is looking for a senior manager who has a long term vision about the evolution of Analytics while being tactically adept at meeting the evolving day-to-day needs of PMs. The right person will be both a team player and a mature manager. The responsibility of the Global Head of Rates Analytics is to lead a small team of six to seven quants supporting PIMCO's portfolio management activities in global interest rates and foreign exchange. The group develops analytics for both linear and non-linear products and covers a range of instruments including cash government bonds, interest rate swaps, and vanilla as well as complex derivatives in both developed and emerging market currencies. Additionally, models developed by the group are also used in the valuation of other products like mortgages.
The candidate should have a strong background in interest rate modeling (linear and non-linear), preferably with experience developing models for, amongst other products, mid-curve options, forward volatility agreements, options on CMS spreads etc. The candidate will interface with portfolio managers in all major trading locations (US, Europe, Asia) and manage a team of quants based in both Newport Beach and London. Coordination with Technology and other teams within Analytics is required to be successful in the role. 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