Interest Rates quant for Portfolio Analytics team

About the role

The Quantitative Research Analyst will contribute to the advancement of PIMCO's interest rate analytics, enhancing the library for interest rate product pricing and risk management, and developing pre-trade analytics tools.

Responsibilities

• Support portfolio managers in the valuation and pricing of Interest Rate Futures, Swaps, Swaptions, Caps & Floors, CMS, and MCO/FVA contracts.
• Enhance PIMCO’s libraries for interest rate product pricing and risk management.
• Develop and maintain Python eco-system for rapid development of pre-trade analytics.
• Collaborate with senior management and portfolio managers to communicate complex technical issues.

Requirements

• Master’s degree in a quantitative discipline such as mathematics, financial engineering, econometrics, or physics.
• Minimum 3 years of experience in the financial industry (sell side), with a solid understanding of valuing and pricing Interest Rate Futures, Swaps, Swaptions, Caps & Floors, CMS, and MCO/FVA contracts.
• Strong modeling experience in areas like interest rate curve building, option theory, stochastic differential equations, optimizations, and term structure modeling.
• Strong programming skills and numerical problem solving techniques; proficiency with C++, Python, SQL, and Excel.
• Familiarity with non-USD interest rate markets, particularly with G10 currencies.
• Attention to details and ability to deliver results.
• Self-starter with accountability, low ego, and motivation to integrate with the trade floor.
• Able to articulate issues and explain herself/himself to portfolio managers and developers.
• Ability to multitask in a fast-paced environment.