Quantitative 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 $1.88 trillion in assets for clients around the world. PIMCO has over 2,800 employees in 17 offices globally. PIMCO is recognized as an innovator, industry thought leader and trusted advisor to our clients.
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 Analytics is seeking a quantitative analyst to join its Model Risk and Governance group. The group is responsible for ensuring the integrity of Analytics internal models, addressing inquiries on Analytics produced risk measures, and representing Analytics on firm-wide projects. Working closely with other teams within Analytics, as well as Portfolio Management and Risk Managers you will have the opportunity to learn and develop in a fast-paced environment, getting exposure to all asset classes and contributing to PIMCO's suite of quantitative frameworks.
Responsibilities include, but are not limited to:
- Support the ongoing evolution of PIMCO Analytics Model Framework. Engage with model owners in developing and maintaining the model risk framework and validation review process, documentation and reporting standards.
- Take initiative in implementation of and adherence to the Analytics Model Governance policies.
- Monitor and validate daily security and portfolio level risk statistics and outliers.
- Identify causes for risk measures corruption and recommend or implement appropriate permanent resolutions. Assist to streamline and improve existing processes.
- Design, implement and analyze reports further facilitating model risk measure surveillance.
- Validate quantitative asset and derivative pricing models: review the underlying assumptions, theory, empirical evidence, implementation and limitations; collaborate to produce high level documentation to promote transparency of model assumptions and increase the utility of models within the organization.
- Work with Core Analytics teams on responding to both internal and external model related inquiries.
- Work closely with Portfolio Managers, Account and Risk managers to ensure the models meet the needs of those organizational end-users.
- Advanced Degree (MSc or PhD) in a quantitative discipline and 2+ years of experience in quantitative model development or validation.
- Programming experience in one or more environments such as C++, MATLAB, Python, SQL, VBA
- Knowledge of quantitative fixed income research and modeling, and mathematics - Linear and Nonlinear Regression, Term Structure Modeling, Monte Carlo Simulation, and Stochastic Calculus
- Ability to run multiple reviews/requests simultaneously with strong attention to detail and ability to prioritize.
- Strong communication and
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