Front Office Mortgage Quant: Analytics & Pricing

LGBT Great; Greater London; On-site; GBP 80,000 - 140,000; Full time

Job summary

PIMCO in London seeks a quantitative analyst to join the front office mortgages analytics team, supporting expansion of mortgage analytics capabilities and assisting Portfolio Managers in investment decisions.

The candidate will be highly technical with solid experience in mortgage modelling, pricing models, and large coding infrastructures. Proficiency in Python is essential; experience with SAS/R is a plus.

Qualifications

• Masters degree or PhD in Mathematics, Physics (non-experimental), Probability/Statistics, Engineering, or (Mathematical) Finance
• Familiar with mortgage products, Intex and data analysis or empirical modelling is a strong plus alongside asset-backed structured products
• Minimum of 3 years of relevant professional experience at a top sell-side or buy-side institution in a front office quantitative role
• Exceptional 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 of tasks
• Strong coding skills in Python – candidates for whom Python experience is limited to occasional / hobby usage should not apply
• Familiar with statistical coding packages and modelling in SAS, R or Python
• Working knowledge of Linux/Unix/Bash and SQL would be a plus.

Responsibilities

• Coverage includes RMBS and broader ABS markets across core and peripheral Europe (UK, Netherlands, Spain, Italy), spanning both liquid and illiquid opportunities
• Focus on non‑agency and complex structures, including mezzanine/equity tranches and legacy dislocated securitized assets
• Significant exposure to non‑performing and re‑performing loan (NPL/RPL) securitizations and whole loan portfolios within private structures
• Emphasis on loan‑level and cashflow modelling across illiquid mortgage credit, including collateral analysis, recovery assumptions and structural waterfalls

Skills

Python programming

Quantitative modelling

Monte Carlo

SAS/R data analysis

SQL

Linux/Unix

Education

Masters or PhD in Mathematics/Physics/Probability/Statistics/Engineering/Mathematical Finance

Tools

Intex

SQL

Job description

PIMCO in London seeks a quantitative analyst to join the front office mortgages analytics team, supporting expansion of mortgage analytics capabilities and assisting Portfolio Managers in investment decisions.

The candidate will be highly technical with solid experience in mortgage modelling, pricing models, and large coding infrastructures. Proficiency in Python is essential; experience with SAS/R is a plus.