VP, Quantitative Research Analyst
Pacific Investment Management Company LLC - Newport Beach, CA

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Perform portfolio level analytics, monitor daily security level risk statistics and ouliers, validate and monitor high level computer applications, forecasting tools, and modeling systems that support the investment decision making process. Design, implement and analyze various portfolio Value-at-Risk and attribution type of models with advanced statistical tools. Work closely with portfolio managers, account managers and risk managers to ensure the models meet the needs of those organizational end-users. Validate quantitative asset and derivative pricing models by reviewing the underlying models including assumptions, theory and empirical evidence. Evaluate and document the model implementation and limitations to exogenous models as well as the model's empirical performance. Make recommendations for changes/enhancements to models. Communicate complex theoretical concepts to investment professionals, developers and programmers. Special projects as assigned in an ever-changing, highly demanding, business environment.

Position Requirements

Master’s degree in Economics, Financial Economics, Mathematical Finance, International Economics Relations or related field plus two (2) years of experience in job or two (2) years in closely related position. Experience with Value-at-Risk and Tracking Error models as well as any of the following products: MBSs (including prepayment modeling), CMOs, Bonds (Treasuries, Corporates), Options (Equity, FX, Futures, Barriers), Futures, Swaps, FRAs, Caps, Floors and Credit Derivatives. Knowledge of quantitative fixed income modeling and mathematics - Linear and Nonlinear Regression, Term Structure Modeling, Monte Carlo Simulation, and Stochastic Calculus. Experience in programming in C++, Matlab, SQL, VBA. Ability to interact with portfolio managers, risk managers, to explain complicated models in a straight forward manner, and to contribute to quantitative research activities. Excellent communications skills.

EMPLOYER WILL ACCEPT ANY SUITABLE COMBINATION OF EDUCATION, TRAINING OR EXPERIENCE.

Any applicant who is interested in this position may apply to www.pimco.com/EN/careers

Pacific Investment Management Company LLC - 18 months ago - save job - block
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