Developer, Financial Engineering Support

Recruiter
PIMCO
Location
Newport Beach, USA
Salary
Competitive
Posted
25 Sep 2021
Closes
24 Oct 2021
Ref
11887063
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
About Us:

We are PIMCO, a leading global asset management firm. We manage investments and develop solutions across the full spectrum of asset classes, strategies and vehicles: fixed income, equities, commodities, asset allocation, ETFs, hedge funds and private equity. PIMCO is one of the largest investment managers, actively managing more than $2.22 trillion in assets for clients around the world. PIMCO has over 3,000 employees in 20 offices globally. PIMCO is recognized as an innovator, industry thought leader and trusted advisor to our clients.

PIMCO is one of the world's premier fixed income investment managers with thousands of professionals around the world united in a single purpose: creating opportunities for our clients in every environment. Since 1971, we have brought innovation and expertise to our partnership with the institutions, financial advisors and millions of individual investors who entrust us with their assets. We aspire to cultivate performance and leadership through empowering our people, diversity of thought, and a commitment to an inclusive culture that engages in our global communities.

Position Description:

Pacific Investment Management Company LLC (PIMCO) seeks a Developer, Financial Engineering Support for its Newport Beach, CA location. Job ID 31301

Duties: Serving as part of the Model Risk Governance team, work with the Portfolio Management Analytics group to reliably deploy and oversee financial models within a production environment. Support the development of a proprietary Analytics Model Framework used to demonstrate portfolio risk caused by market movements, market microstructure or quantitative model assumptions. Design, develop, and enhance quantitative models to assess factors affecting diverse fixed income derivatives and bond instruments and their impact on PIMCO product offerings. Engage with model owners in developing and maintaining the model risk framework and validation review process, documentation and reporting standards. Monitor and validate quantitative asset and derivative pricing models, portfolio-level risk statistics, and outliers. Review underlying assumptions, theory, empirical evidence, implementation and limitations, and collaborate with other teams to produce high-level documentation regarding model assumptions and increase the utility of models within the organization. Identify causes for risk measures corruption and recommend or implement appropriate resolutions. Design, implement and analyze reports further facilitating model risk measure surveillance. Work with Core Analytics teams to address both internal and external model-related inquiries. Work closely with Portfolio Managers, Account and Risk Managers to ensure models meet business and user needs, and are in accordance with Analytics Model Governance policies.

Position Requirements:

Requirements: Master's degree in Computer Science, Computer Engineering, Financial Engineering or related field and three (3) years of experience in the position offered or related position. Employer will also accept Bachelor's degree in stated fields and five (5) years of post-baccalaureate, progressive experience in the position offered or related role. Required experience and/or academic coursework must include: Developing and maintaining software to analyze risk and value of fixed income products and markets. Validating quantitative asset and derivative pricing models, portfolio-level risk statistics, and outliers. Applying Simple and Multiple Linear Regression for econometrics. Using Stochastic Calculus, including stochastic processes, Ito Lemma, and Black Scholes no arbitrage paradigm. Performing valuation of derivative pricing models and hedging applications in derivative markets. Implementing numerical techniques in Python programming language to develop and enhance models for fixed income securities pricing, and Monte Carlo Simulation. Performing research in Fixed Income Markets, including using varied fixed income instruments pricing mechanisms, fixed income derivatives, measurement and hedging of interest rate risk, dynamic models of interest rates (Term Structure Modeling) and the management of fixed income portfolio risk.

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.

Benefits:

PIMCO is committed to offering a comprehensive portfolio of employee benefits designed to support the health and well-being of you and your family. Benefits vary by location but may include:
  • Medical, dental, and vision coverage
  • Life insurance and travel coverage
  • 401(k) (defined contribution) retirement savings, retirement plan, pension contribution from your first day of employment
  • Work/life programs such as flexible work arrangements, parental leave and support, employee assistance plan, commuter benefits, health club discounts, and educational/CFA certification reimbursement programs
  • Community involvement opportunities with The PIMCO Foundation in each PIMCO office

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