Senior Quant Research Analyst, Fixed Income & Derivatives

Private National Mortgage Acceptance Company, LLC; Westlake Village (CA); On-site; USD 68,000 - 115,000; Full time

Benefits offered by this job

Medical, Dental, Vision

PTO & holidays

Wellness programs

Retirement & 401k

Philanthropy & matching gifts

Bonus opportunities

Job summary

Pennymac, based in Westlake Village, CA, seeks a Senior Analyst, Quantitative Research to support development and maintenance of prepayment, rate, fixed income, and derivative pricing models within the Capital Markets team.

The role targets early-career professionals with an advanced degree, strong programming skills in Python/C++/R, and solid knowledge of capital markets and MBS. Collaboration with traders and risk teams is expected.

Qualifications

• Master's degree in Financial Engineering, Quantitative Finance, Applied Economics, Computational Finance, or Applied Mathematics/Statistics.
• 2+ years of professional experience in capital markets, quantitative research, or financial risk management (internship/co-op experience accepted).
• Strong proficiency in Python, C++, or R for financial modeling and numerical computations. SQL for database querying.
• Solid understanding of fixed income mathematics, derivatives and option pricing models, and mortgage cash flow structures.

Responsibilities

• Model Implementation & Maintenance: Code, test, and maintain quantitative tools for prepayment and interest rate models.
• Financial Data Engineering: Build pipelines to clean and analyze large capital markets datasets.
• Derivatives & Valuation Support: Run daily valuation scripts and risk analytics for fixed income products and MSR portfolios.
• Capital Markets Analytics: Produce ad-hoc analyses, backtest trading strategies, and run sensitivity analyses.
• Model Documentation: Write documentation and run validation tests for governance.

Skills

Python

C++

R

SQL

Capital markets knowledge

Derivatives pricing

Education

Master's degree in Financial Engineering

Tools

SQL

Job description

Pennymac, based in Westlake Village, CA, seeks a Senior Analyst, Quantitative Research to support development and maintenance of prepayment, rate, fixed income, and derivative pricing models within the Capital Markets team.

The role targets early-career professionals with an advanced degree, strong programming skills in Python/C++/R, and solid knowledge of capital markets and MBS. Collaboration with traders and risk teams is expected.