Vice President, CM Quantitative Research

PennyMac Corp.; Westlake Village (CA); On-site; USD 95,000 - 155,000; Full time

Benefits offered by this job

Medical benefits

Dental benefits

Vision benefits

PTO

401k match

Tuition reimbursement

Stock-based incentives

Job summary

Pennymac seeks a highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models within our Capital Markets division. You will engineer mathematical frameworks for yield curve dynamics and mortgage instrument valuation.

Ideal candidates bring advanced backgrounds in quantitative fields and experience with PDEs, stochastic calculus, and numerical simulation.

Qualifications

• Ph.D. or Master’s degree in Applied Mathematics, Financial Engineering, or a heavily quantitative discipline.
• 5+ years in capital markets or quantitative development; 3+ post-degree with PhD.
• Strong foundation in stochastic calculus, PDEs, linear algebra, Monte Carlo, numerical analysis.
• Expert proficiency in Python, C++, or R and SQL for data handling.
• Deep knowledge of fixed income mathematics, yield curve dynamics, swaptions, and MBS/MSR concepts.

Responsibilities

• Interest Rate Modeling: Architect, calibrate, and enhance stochastic term-structure models.
• Option Pricing & Derivatives Valuation: Evaluate swaptions, caps/floors, and embedded options.
• Fixed Income Pricing: Design valuation frameworks for Agency/Non-Agency MBS and MSR cash flows.
• Pipeline & Portfolio Hedging Support: Provide analytics for pipeline hedging and KRD sensitivity.
• Model Validation & Risk Infrastructure: Implement stress testing and governance compliant documentation.

Skills

Stochastic calculus

PDEs

Monte Carlo simulation

Numerical analysis

Yield curve dynamics

Education

Ph.D. or Master’s degree in quantitative field

Tools

Python

C++

R

SQL

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 highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models. As a pivotal technical expert within our Capital Markets division, you will engineer mathematical frameworks for yield curve dynamics, option-embedded fixed income valuation, and mortgage portfolio hedging.

This role is ideal for candidates with advanced backgrounds in Quantitative Finance, Applied Mathematics, Theoretical Physics, or Aerospace Engineering who thrive on applying complex partial differential equations (PDEs), stochastic calculus, and numerical simulation methods to residential mortgage-backed securities (MBS) and mortgage servicing rights (MSR).

The Vice President, Quantitative Research will:

• Interest Rate Modeling: Architect, calibrate, and enhance stochastic term-structure models (e.g., Hull-White, Black-Karasinski, SABR, Heath-Jarrow-Morton) tailored to the mortgage market.
• Option Pricing & Derivatives Valuation: Evaluate interest rate derivatives (swaptions, caps/floors, swaption volatility surfaces) and embedded options within mortgage instruments.
• Fixed Income Pricing: Design valuation frameworks for complex fixed income products, including Agency/Non-Agency MBS, Whole Loans, and MSR cash flows.
• Pipeline & Portfolio Hedging Support: Partner with trading desks to provide quantitative analytics for pipeline hedging, key rate duration (KRD) sensitivity analysis, and convexity metrics.
• Model Validation & Risk Infrastructure: Implement robust testing, stress testing, and documentation standards to comply with internal risk governance and model validation policies.

What You’ll Bring

• Education: Ph.D. or Master’s degree in Applied Mathematics, Applied Economics, Statistics, Theoretical Physics, Aerospace/Mechanical Engineering, Financial Engineering, or a heavily quantitative discipline preferred.
• Experience: 5+ years of experience in capital markets, quantitative development or fixed income analytics with a Master's degree, or 3+ years of post‑degree with a Ph.D.
• Mathematical Proficiency: Strong foundation in stochastic calculus, partial differential equations (PDEs), linear algebra, Monte Carlo simulation, and numerical analysis.
• Programming Skills: Expert proficiency in Python, C++, or R for quantitative development, along with SQL for handling large financial datasets.
• Domain Knowledge: Understanding of fixed income mathematics, yield curve dynamics, swaptions, and residential mortgage cash flow mechanics (MBS/MSR/Prepayment concepts preferred).

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:

• 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:

• 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

$95,000 - $155,000

Work Model

OFFICE