Senior Quant Risk Modeler: Fixed Income & Illiquid Assets

Pacific Asset Management, LLC; Newport Beach (CA); On-site; USD 204,000 - 249,000; Full time

Benefits offered by this job

Health benefits

Paid time off

Parental leave

401k plan with company match

Job summary

Pacific Life Insurance Company in Newport Beach, CA is seeking a Senior Quantitative Investment Risk Modeler to advance the organization’s ability to quantify risk across complex assets. You will collaborate with investment and risk teams to translate concepts into actionable quant models.

The role requires 5-7 years in fixed income, advanced degrees in quantitative fields, and programming in MATLAB, SAS, R, and Python.

Qualifications

• 5-7 years of experience with fixed income products.
• First-hand knowledge of investment risk methodologies.
• CFA/FRM designation preferred.
• Experience building investment risk models for complex assets.

Responsibilities

• Oversee aggregate credit risk within risk appetite and support stress testing.
• Inform evaluation of risk and return tradeoffs across asset classes/geographies/entities.
• Develop models for asset classes including CLOs, RMBS, CMBS, ABS.
• Model private ABS including esoteric collateral.
• Model residential and commercial mortgage loans.
• Collaborate in a matrix environment with quants, analysts, and PMs.

Skills

Quantitative modelling

Investment risk

Cross-functional collaboration

Education

MFE or PhD in Finance/Math/Engineering

Tools

MATLAB

SAS

R

Python

Job description

Pacific Life Insurance Company in Newport Beach, CA is seeking a Senior Quantitative Investment Risk Modeler to advance the organization’s ability to quantify risk across complex assets. You will collaborate with investment and risk teams to translate concepts into actionable quant models.

The role requires 5-7 years in fixed income, advanced degrees in quantitative fields, and programming in MATLAB, SAS, R, and Python.