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Quantitative Developer, Securitized Products

Newport Beach, USA
Closing date
Nov 15, 2022

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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 $2.2 trillion in assets for clients around the world. PIMCO has over 3,070 employees in 22 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:

We are strengthening our analytics effort in a number of key areas at the firm including securitized products, emerging markets, foreign exchange and rates. We are seeking several quantitative developers who can work on projects ranging from implementation of prepayment, credit, stochastic interest rate models and gain broad exposure to an array of financial instruments.
For any of these teams, it's a fantastic opportunity to gain exposure a sophisticated analytics platform for fixed income products in a high-performance computing environment in cloud.

Securitized Products:
  • You will collaborate with quantitative researchers to build solutions with intex CMO library and work with mortgage data like Loan Performance and/or EMBS data.
  • You will thrive in an environment with rapid iterations while managing to fit the implementation in a strategic analytics platform and be part of the team responsible for the implementation of prepayment, credit, and stochastic interest rate models.
  • Work with team to analyze interest rates, home price index along with integrating prepayment and credit model with collateral cash flow.

Position Requirements:

  • Minimum Master's degree in computer science, mathematics or other STEM-related degree. Graduation from a top school in CS or Math is preferred.
  • 3-5 years of hands-on experience with financial software engineering in C++ and Python; 3 years with securitized products development such as residential mortgages, commercial mortgages, and asset backed securities for the securitized team.
  • Experience with intex CMO API and strong understanding of how deal structure and cash flows work in securitized products.
  • Understanding of interest rates and home price index is required as well as and have a clear understanding of workflow as it relates to integration of prepayment and credit models with collateral cash flow.
  • Experience working in fast-pace software development cycle while having a vision about how to scale analytical capabilities.
  • Strong attention to details and result driven with high standards for clear, efficient code.
  • Ideally the candidate has hands-on experience in premier sell-side firms directly in support of modeling efforts and/or trading desks, and is capable of working in a dynamic environment.


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 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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