Quantitative Research Analyst, Mortgages

Overview

Join PIMCO’s London front office as a desk quant focused on mortgage analytics. You will develop pricing models and implement them in Python to support PMs and expand the mortgage analytics offering. You’ll work with RMBS/ABS across Europe, including non-agency and complex structures, with exposure to NPL/RPL securitizations. This role blends rigorous analytics with scalable coding in a high-performance, collaborative culture.

Responsibilities

• Cover RMBS and broader ABS markets across core/peripheral Europe (UK, Netherlands, Spain, Italy)
• Focus on non-agency and complex structures, including mezzanine/equity tranches and legacy dislocated securitized assets
• Work with non-performing and re-performing loan securitizations and whole loan portfolios within private structures
• Emphasize loan-level and cashflow modelling, collateral analysis, recovery assumptions and structural waterfalls

Key requirements

• Masters degree or PhD in relevant quantitative fields
• Familiarity with mortgage products; Intex and data analysis or empirical modelling a strong plus
• Minimum 3 years of front office experience at a top sell-side or buy-side institution
• Strong knowledge of advanced pricing techniques (Monte Carlo, prepayment modelling, scenario engines) and cash flow/bond maths (OAS)
• Experience designing, coding, and implementing pricing/surveillance frameworks for automation
• Strong Python coding skills (not just hobby use)
• Experience with SAS, R or Python for modelling
• Working knowledge of Linux/Unix/Bash and SQL a plus

• Strong collaboration with Portfolio Managers
• Relationship building with cross-functional teams
• analytical communication and problem-solving
• Python coding for pricing models and implementations
• Monte Carlo simulation
• Prepayment modelling and scenario engines

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