What are the responsibilities and job description for the Interest Rates quant for Portfolio Analytics team position at Quanta Search?
Our client, a successful asset management firm, is seeking an experienced Quantitative Research Analyst to join the Portfolio Rates Analytics team based in Newport Beach. This position will help advance the global development of PIMCO’s interest rate analytics while improving the ability of the group to serve portfolio managers globally.
In this role, you will support portfolio managers of linear and non-linear interest rate (IR) products by
providing enhancements of PIMCO’s libraries for interest rate product pricing and risk management, as
well as the Python eco-system for rapid development of pre-trade analytics. The ideal candidate will
possess strong mathematical modeling and programming skills. As well, he/she will have the ability to
communicate complicated technical issues clearly with senior management and portfolio managers.
REQUIREMENTS
Master’s degree in a quantitative discipline such as mathematics, financial engineering, econometrics,
or physics
Strong modeling experience in areas like interest rate curve building, option theory, stochastic
differential equations, optimizations and term structure modeling
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 programming skills and numerical problem solving techniques; proficiency with C , Python,
SQL, and excel skills
Familiarity with non-USD interest rate markets is very useful, particular with regards to the G10
currencies
Strong attention to details and ability to deliver results. Self-starter who is accountable, low ego, and
motivated by integrating with the trade floor.
Able to articulate issues and explain herself/himself to portfolio managers and developers.
Ability to multitask in a fast pacing environment.
In this role, you will support portfolio managers of linear and non-linear interest rate (IR) products by
providing enhancements of PIMCO’s libraries for interest rate product pricing and risk management, as
well as the Python eco-system for rapid development of pre-trade analytics. The ideal candidate will
possess strong mathematical modeling and programming skills. As well, he/she will have the ability to
communicate complicated technical issues clearly with senior management and portfolio managers.
REQUIREMENTS
Master’s degree in a quantitative discipline such as mathematics, financial engineering, econometrics,
or physics
Strong modeling experience in areas like interest rate curve building, option theory, stochastic
differential equations, optimizations and term structure modeling
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 programming skills and numerical problem solving techniques; proficiency with C , Python,
SQL, and excel skills
Familiarity with non-USD interest rate markets is very useful, particular with regards to the G10
currencies
Strong attention to details and ability to deliver results. Self-starter who is accountable, low ego, and
motivated by integrating with the trade floor.
Able to articulate issues and explain herself/himself to portfolio managers and developers.
Ability to multitask in a fast pacing environment.
