Sr Analyst, Quant Research

Pennymac • Westlake Village, CA

1d • Onsite

About The Position

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).

Requirements

• 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)
• 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.
• 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.
• Excellent problem-solving capabilities with high attention to detail when working with complex financial datasets.

Responsibilities

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

Benefits

• 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
• bonus opportunities

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level