Vice President, Quantitative Research Greater Los Angeles, CA Area

The Company is in search of a Vice President, Quantitative Research with a strong analytical background to join their team. The successful candidate will be responsible for designing, building, and calibrating native interest rate and derivative pricing models, with a focus on engineering mathematical frameworks for yield curve dynamics, option-embedded fixed income valuation, and mortgage portfolio hedging. This pivotal role requires expertise in interest rate modeling, option pricing, and derivatives valuation, as well as the design of valuation frameworks for complex fixed-income products. The Vice President will also be involved in pipeline and portfolio hedging support, and must ensure that all models meet the company's standards for model validation and risk infrastructure. Applicants for this role at the company should hold a Ph.D. or Master's degree in a heavily quantitative discipline, with a preference for those with a background in applied mathematics, applied economics, statistics, theoretical physics, or aerospace/mechanical engineering. A minimum of 5 years' experience in capital markets, quantitative development, or fixed-income analytics is required, with a strong mathematical proficiency in stochastic calculus, PDEs, linear algebra, Monte Carlo simulation, and numerical analysis. Expert programming skills in Python, C++, or R, along with SQL, are essential. The ideal candidate will have a deep understanding of fixed-income mathematics, yield curve dynamics, and the mechanics of residential mortgage cash flows.

Hiring Company

PennyMac