VP, Mortgage Quantitative Research & Pricing

PENNYMAC; Westlake Village (CA); In loco; USD 95.000 - 155.000; Tempo pieno

Vantaggi offerti da questo lavoro

Competitive compensation

Stock-based incentives

Bonus opportunities

401k match

Descrizione del lavoro

Pennymac seeks a highly analytical executive to design, build, and calibrate native interest rate and derivative pricing models within the Capital Markets division. You will engineer mathematical frameworks for yield curve dynamics and MBS/MSR hedging, influencing pricing and risk decisions.

The role demands expertise in PDEs, stochastic calculus, and numerical methods, with a PhD or Master’s in a quantitative field and 5+ years in capital markets or 3+ years post-PhD.

Competenze

• Advanced degree in a quantitative field is required.
• Strong background in stochastic calculus and PDEs for pricing models.
• Experience with fixed income analytics and mortgage-backed securities is preferred.

Mansioni

• Design, calibrate, and maintain interest rate and derivative pricing models.
• Model validation and risk infrastructure in capital markets context.
• Support pipeline hedging and risk metrics with quantitative analytics.

Conoscenze

Stochastic calculus

PDEs

Monte Carlo simulation

Numerical analysis

Python

C++

R

SQL

Fixed income analytics

Yield curve dynamics

Formazione

Ph.D. in Applied Mathematics

Master’s in Financial Engineering

Strumenti

Python

C++

R

SQL

Descrizione del lavoro

Pennymac seeks a highly analytical executive to design, build, and calibrate native interest rate and derivative pricing models within the Capital Markets division. You will engineer mathematical frameworks for yield curve dynamics and MBS/MSR hedging, influencing pricing and risk decisions.

The role demands expertise in PDEs, stochastic calculus, and numerical methods, with a PhD or Master’s in a quantitative field and 5+ years in capital markets or 3+ years post-PhD.