Pacific Investment Management Company LLC (PIMCO) seeks a Quantitative Research Analyst for its Newport Beach, California location. Job ID 16879.
Duties : Apply mathematical, statistical, optimization, and probability theories and methods to perform portfolio level analytics; monitor daily security level risk statistics and outliers; and validate and monitor high level computer applications, forecasting volatility and tracking error tools, and modeling systems that support the investment decision making process and portfolio construction. Design, develop, implement, and analyze various portfolio Value-at-Risk and attribution models with advanced statistical tools such as Python, R, and/or MATLAB and Java/C++ programming. 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. Access data in Sybase and Oracle database systems using SQL Language.
Requirements : Must have a Master's degree in Finance, Mathematics, Financial Mathematics, Financial Engineering, or related quantitative field, and one (1) year of experience in position offered or related position. Full term of experience must include performing quantitative research within buy-side or sell-side financial services firm utilizing mathematical, statistical, optimization, and probability theories and tools. At least six (6) months of experience must involve analyzing large data sets and time series using enterprise data analytics systems; programming models using Java and C++; performing statistical analysis in Python, R or MATLAB; and programming in SQL for Sybase/Oracle databases. Background check and drug screening required prior to employment.
Pacific Investment Management Company LLC is an EEO/AA Employer. This position is eligible for incentives pursuant to Pacific Investment Management Company LLC's Employee Referral Program.
We are an Equal Opportunity Employer and do not discriminate against any employee or applicant for employment because of race, color, sex, age, national origin, religion, sexual orientation, gender identity, status as a veteran, and basis of disability or any other federal, state or local protected class.