PIMCO
Quantitative Research Analyst, Mortgages
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Quantitative Research Analyst, Mortgages
Quantitative Analyst / Desk Quant – RMBS & ABS Analytics
PIMCO, the world’s leading active fixed income investment manager, is seeking a Quantitative Analyst to join our London-based front office trading mortgages analytics team in the Alternatives business. This role supports an expanding portfolio of fund offerings and plays a critical role in assisting Portfolio Managers with investment and asset management decisions.
About the Role
PIMCO’s alternatives business continues to grow, expanding its product offerings across non-traditional fixed income opportunities. This technical front office role requires a senior quantitative analyst with deep expertise in mortgage analytics and modelling, particularly in RMBS and ABS (Residential & Asset-Backed Securities). You will develop and implement new pricing models, analyse complex structures, and build strong collaborative relationships within the team.
The ideal candidate will have 3+ years in a quantitative front office role (either sell or buy side), with Python proficiency, a strong quantitative finance background, and hands-on experience in Monte Carlo pricing and pre-payment modelling. Technical expertise in loan-level modelling, discount rates, and cash flow assessment is essential.
Key Responsibilities
Coverage & Focus Areas:
- RMBS and broader ABS markets, including core and peripheral Europe (UK, Netherlands, Spain, Italy)
- Concentration on non-agency structures, including mezzanine/equity tranches and legacy securitized products
- Significant exposure to NPL/RPL securitizations and whole loan portfolios in private structures
- Loan-level and cash flow modelling, covering structural waterfalls, collateral analysis, and recovery assumptions in illiquid mortgage credit
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Requirements
Education & Professional Experience
- Masters degree or PhD in Mathematics, Physics (non-experimental), Probability/Statistics, Engineering, or (Mathematical) Finance
- Minimum of 3 years in a front-office quantitative role at a top-tier investment firm (sell or buy side)
- Strong familiarity with mortgage products, including Intra-day trading execution and data analysis
Technical & Analytical Skills
- Exceptional quantitative & analytical acumen, including expertise in:
- Advanced pricing techniques (Monte Carlo, pre-payment modelling engines, scenario analysis)
- Asset pricing theory, probability theory, cash flow mathematics (e.g., OAS calculations)
- Statistical coding (SAS, R, or Python)
- Proficiency in Python, with proven experience implementing custom data frameworks and automated trading/monitoring systems
- Experience designing and deploying pricing surveillance frameworks for efficiency and automation
- Familiarity with Linux/Unix, Bash scripting, and SQL as a plus
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Collaborative & Soft Skills
- Ability to develop strong relationships with Portfolio Managers, CIOs, and head offices
- Comfortable working across buy-side and sell-side clients, communicating on both structural and transactional risks
PIMCO Culture & Commitment to Diversity
Since 1971, PIMCO has built its reputation on an inclusive, high-performance culture embedded in its CORE values:
- Collaboration
- Openness
- Responsibility
- Excellence
We foster diverse thinking, uphold rigorous integrity, and prioritise equal employment opportunity for all qualifying applicants.
Equal Opportunity & Reasonable Accommodations
PIMCO is committed to diversity and inclusion and affirms equal opportunity for all applicants without regard to:
- Race, ethnicity, gender identity, religion, age, disability, sexual orientation, or lifespan stage
- Military/veteran status
- Medical condition or marital status
Disabled Candidates:
We provide reasonable accommodation for qualified individuals during the application process. If you require assistance, please contact 949-720-7744 for a dedicated line. Responses will be processed within 2 business days. This service is for application support only.
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