Portfolio Risk Manager, Vice President

Newport Beach, USA
25 Sep 2021
24 Oct 2021
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
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 Portfolio Risk Manager, Vice President for its Newport Beach, CA location. Job ID 31300

Duties: Monitor portfolio risk measures and products across various asset classes to identify key risk factors and alpha contributors. Estimate risk metrics including duration, convexity, and the Greeks for major positions; and implement multi-factor risk model to evaluate profit and loss ("PnL") of portfolios. Perform in-depth strategy analysis and demonstrate keen portfolio risk with portfolio managers periodically, and provide constructive suggestions that enhance portfolio returns and mitigate risk. Develop stress test scenarios to evaluate market risk sensitivity to interest rates, credit spreads, equities, and foreign exchange factors. Perform simulations to estimate tail risks including Conditional Value at Risk (CVaR). Collaborate with Analytics Team to ensure risk measures are correctly modeled for derivatives positions including equities, interest rate products, and commodities. Conduct regression analysis and other statistical analyses on historical risk exposures to determine portfolio betas to market factors and the correlated positions among strategies. Integrate and validate data from different sources and explore new datasets to add incremental analytics power into existing risk management process. Utilize Python to perform data analysis and to automate risk reports. Partner with internal teams including technology and analytics to improve and extend existing capabilities and coverage.

Position Requirements:

Requirements: Master's degree in Finance, Mathematics, Financial Engineering or related quantitative field. Academic coursework or experience must include: evaluating exposure to risk factors in portfolios, including duration, convexity and option Greeks; implementing multi-factor model to evaluate portfolio performance and conducting in-depth strategy analysis; analyzing large data sets using statistical analysis including regression analysis and time series analysis; performing simulations and scenario analysis to identify correlated positions and assess potential tail risks in portfolios; developing stress test scenarios to evaluate risk sensitivity to interest rates, credit spreads, equities, and foreign exchange factors; and utilizing Python to perform data analysis and to develop risk reports for monitoring portfolio risk and performance.

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.


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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