Quanta Search is Hiring an Interest Rates quant for Portfolio Analytics team Near New York, NY
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.