Sr Analyst, Quant Research

Pennymac; Westlake Village (CA); On-site; USD 68,000 - 115,000; Full time

Benefits offered by this job

Medical

Dental

Vision

PTO

Wellness program

401k match

Job summary

Pennymac is seeking a Senior Analyst, Quantitative Research to support the development, execution, and maintenance of prepayment, interest rate, fixed income, and derivative pricing models. You will work with senior researchers and trading desks to implement financial engineering models and maintain algorithms used for portfolio valuation.

This role targets early-career professionals with an advanced degree and strong programming skills in Python, C++, or R, plus SQL experience.

Qualifications

• Master's degree in Financial Engineering, Quantitative Finance, Applied Economics, Computational Finance, or Applied Mathematics/Statistics required.
• 2+ years of professional experience in capital markets, quantitative research, or financial risk management preferred.
• Strong proficiency in Python, C++, or R for financial modeling; solid SQL for data querying.

Responsibilities

• Model Implementation & Maintenance: Create and maintain quantitative tools for prepayment, interest rate, and option pricing models.
• Financial Data Engineering: Build pipelines to clean and structure 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 reports, backtest strategies, and perform sensitivity analyses.

Skills

Python

C++

R

SQL

Fixed income math

Derivatives

Education

Master's degree in Financial Engineering

BS with 2-3 years experience

Job description

PENNYMAC

Pennymac is (NYSE: PFSI) is a specialty financial services firm with a comprehensive mortgage platform and integrated business focused on the production and servicing of U.S. mortgage loans and the management of investments related to the U.S. mortgage market.

At Pennymac, our people are the foundation of our success and at the heart of our dynamic work culture. Together, we work towards a unified goal of helping millions of Americans achieve aspirations of homeownership through the complete mortgage journey.

A Typical Day

Pennymac is seeking a Senior Analyst, Quantitative Research to support the development, execution, and maintenance of our prepayment, interest rate, fixed income, and derivative pricing models. Sitting within the Capital Markets team, you will work closely with senior quantitative researchers and trading desks to implement financial engineering models, process capital markets data, and maintain numerical algorithms used for pipeline hedging and portfolio valuation.

This role is tailored for early-career professionals with an advanced degree in Financial Engineering, Computational Finance, Quantitative Finance, or Applied Mathematics who possess solid programming skills and a foundational understanding of capital markets and mortgage-backed securities (MBS).

The Senior Analyst, Quantitative Research will:

• Model Implementation & Maintenance: Assist in coding, testing, and maintaining quantitative tools for prepayment models, interest rate models, yield curve calibration, and option pricing.
• Financial Data Engineering: Build pipelines to clean, structure, and analyze large capital markets datasets (e.g., yield curves, swaption volatility surfaces, benchmark Treasury rates).
• Derivatives & Valuation Support: Run daily valuation scripts and risk analytics (e.g., duration, convexity, key rate durations) for fixed income products, whole loans, and MSR portfolios.
• Capital Markets Analytics: Collaborate with trading and hedging desks to produce ad-hoc analytical reports, backtest trading strategies, and execute sensitivity analyses.
• Model Documentation: Write technical documentation and run validation tests to support model risk governance requirements.

What You’ll Bring

• Education: Master’s degree in Financial Engineering (MFE), Quantitative Finance, Applied Economics, Computational Finance, or Applied Mathematics/Statistics. (BS with 2-3 years experience is acceptable)
• Experience: 2+ years of professional experience in capital markets, quantitative research, or financial risk management (internship/co-op experience accepted).
• Programming Skills: Strong proficiency in Python, C++, or R for financial modeling and numerical computations. Solid experience with SQL for database querying.
• Firm understanding of core quantitative concepts: Fixed income mathematics (yields, duration, convexity). Fundamentals of derivatives and option pricing models (e.g., Black-Scholes, binomial trees). Basic principles of interest rate dynamics and mortgage cash flow structures.
• Analytical Skills: Excellent problem-solving capabilities with high attention to detail when working with complex financial datasets.

Why You Should Join

As one of the top mortgage lenders in the country, Pennymac has helped over 4 million lifetime homeowners achieve and sustain their aspirations of home. Our vision is to be the most trusted partner for home. Together, 4,000 Pennymac team members across the country are guided by our core values: to be Accountable, Reliable and Ethical in all that we do.

Pennymac is committed to conducting a business that makes positive contributions and promotes long-term sustainable growth and to fostering an equitable and inclusive environment, where all employees and customers feel valued, respected and supported.

Benefits That Bring It Home

Whether you're looking for flexible benefits for today, setting up short-term goals for tomorrow, or planning for long-term success and retirement, Pennymac's benefits have you covered. Some key benefits include:

• Comprehensive Medical, Dental, and Vision
• Paid Time Off Programs including vacation, holidays, illness, and parental leave
• Wellness Programs, Employee Recognition Programs, and onsite gyms and cafe style dining (select locations)
• Retirement benefits, life insurance, 401k match, and tuition reimbursement
• Philanthropy Programs including matching gifts, volunteer grants, charitable grants and corporate sponsorships
• We value the hard work and dedication of our employees. In addition to a competitive salary, positions may offer bonus opportunities.

To learn more about our benefits visit: https://pennymacnews.page.link/benefits

For residents with state required benefit information, additional information can be found at: https://www.pennymac.com/additional-benefits-information

Compensation: Individual salary may vary based on multiple factors including specific role, geographic location / market data, and skills and experience as defined below:

• Lower in range - Building skills and experience in the role
• Mid-range - Experience and skills align with proficiency in the role
• Higher in range - Experience and skills add value above typical requirements of the role

Some roles may be eligible for performance-based compensation and/or stock-based incentives awarded to employees based on company and individual performance.

Salary

$68,000 - $115,000

Work Model

OFFICE