Vice President, CM Quantitative Research

Pennymac • Westlake Village, CA

30d • Onsite

About The Position

Pennymac is seeking a highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models. As a technical expert within the Capital Markets division, this role develops mathematical frameworks for yield curve dynamics, option-embedded fixed income valuation, and mortgage portfolio hedging. The work applies partial differential equations, stochastic calculus, and numerical simulation methods to residential mortgage-backed securities (MBS) and mortgage servicing rights (MSR).

The role includes developing and enhancing stochastic term-structure models; valuing interest rate derivatives and embedded options; creating valuation frameworks for complex fixed income products; supporting pipeline and portfolio hedging; and implementing model testing, stress testing, and documentation in accordance with internal risk governance and model validation policies. The position works with trading desks to provide quantitative analytics for hedging and risk sensitivity analysis.

Requirements

• At least 5 years of experience in capital markets, quantitative development, or fixed income analytics with a master's degree, or at least 3 years of post-degree experience with a Ph.D.
• Strong foundation in stochastic calculus, partial differential equations (PDEs), linear algebra, Monte Carlo simulation, and numerical analysis.
• Expert proficiency in Python, C++, or R for quantitative development, along with SQL for handling large financial datasets.
• Understanding of fixed income mathematics, yield curve dynamics, and swaptions.

Nice To Haves

• A Ph.D. or master's degree in Applied Mathematics, Applied Economics, Statistics, Theoretical Physics, Aerospace or Mechanical Engineering, Financial Engineering, or another heavily quantitative discipline is preferred.
• Knowledge of residential mortgage cash flow mechanics, including MBS, MSR, and prepayment concepts.

Responsibilities

• Architect, calibrate, and enhance stochastic term-structure models tailored to the mortgage market.
• Evaluate interest rate derivatives, including swaptions, caps/floors, and swaption volatility surfaces, as well as embedded options within mortgage instruments.
• Design valuation frameworks for Agency and Non-Agency MBS, Whole Loans, and MSR cash flows.
• Partner with trading desks to provide quantitative analytics for pipeline hedging, key rate duration (KRD) sensitivity analysis, and convexity metrics.
• Implement robust testing, stress testing, and documentation standards to comply with internal risk governance and model validation policies.

Benefits

• Comprehensive medical, dental, and vision benefits.
• Paid time off programs, including vacation, holidays, illness, and parental leave.
• Wellness programs and employee recognition programs.
• Onsite gyms and cafe-style dining at select locations.
• Retirement benefits, life insurance, 401(k) match, and tuition reimbursement.
• Philanthropy programs, including matching gifts, volunteer grants, charitable grants, and corporate sponsorships.
• Competitive salary; some roles may be eligible for performance-based compensation and/or stock-based incentives.

What This Job Offers

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