PACIFIC INVESTMENT MANAGEMENT COMPANY, LLC – $70,366.00/Year

Requires a Masters degree or foreign equivalent in Finance, Mathematics, or related quantitative field, and 3 years of experience in the position offered or a related role. Full term of required experience must include developing new pricers for derivatives in Python, including volatility swaps and variance swaps; developing and maintaining portfolio risk level metrics, and streamlining stale security check, attribution report check, and replication of risk metrics, including duration, spread duration, OAS optionadjusted spread, ytm yield to maturity, and ytw yield to worst, using Python, MATLAB, and SQL; conducting impact study on risk metrics including the impact of manual overrides of risk numbers and enhancements to existing models; and performing stress testing, including FX stress testing, using Python, MATLAB, and SQL; responding to client inquiries about the risk metrics of various financial product types, including corporate bonds, Treasury bonds, callable bonds, mortgages, nonagency mortgages, and derivatives; validating LIBOR curve transition to new RFR riskfree rate curves, including SOFR, TONA, ESTR, CORRA, AONIA, HONIA, and SORA, and validating new curves by comparing them with legacy curves, including those in production and those from Bloomberg, using Excel VBA; and designing and implementing daily curve monitoring frameworks. Experience may be gained concurrently. Employer will accept any suitable combination of education, training andor experience which would qualify an applicant for this position.