Quantitative Research Analyst, Mortgages
- Hiring Organisation
- Pimco
- Location
- London, United Kingdom
- Salary
- £ 60 K
cashflow modelling across illiquid mortgage credit, including collateral analysis, recovery assumptions and structural waterfallsREQUIREMENTS Masters degree or PhD in Mathematics, Physics (non-experimental), Probability/Statistics, Engineering, or (Mathematical) FinanceMust have a familiarity with mortgage products, Intex and data analysis or empirical modelling is a strong plus alongside asset … front office quantitative roleExceptional quant/analytical skills – knowledge of advanced pricing techniques (Monte Carlo, prepayment modelling and scenario engines), asset pricing theory, probability theory, and cash flow/bond maths (e.g. OAS calculations)Experience designing, coding, and implementing pricing and surveillance frameworks for automation/streamlining ...