Quantitative Research Analyst, Mortgages

PIMCO

London, England, GBFull-time2026-10-30 → 2026-11-10

Core

Quantitative analyst supporting mortgage analytics and trading decisions for RMBS and ABS markets across Europe.

Role type

Senior front-office quantitative analyst (mortgages)

Builds

Pricing models and surveillance frameworks for mortgage-backed securities and asset-backed structures

Domain

Fixed income / Mortgage-backed securities / Asset-backed securities

Deliverable

production ML models

Required skills

Python, Monte Carlo simulation, prepayment modelling, cash flow modelling, OAS calculations, loan-level analysis, structural waterfalls, SAS/R/Python statistical packages, Linux/Unix/Bash, SQL

Preferred skills

Intex familiarity, empirical modelling, asset-backed structured products, non-agency securities, NPL/RPL securitizations

Responsibilities

Develop new pricing models for bespoke transaction features, implement pricing models into Python code, contribute to large coding infrastructures, perform loan-level and cashflow modelling, conduct collateral analysis and recovery assumptions

Seniority

Senior, hands-on IC

About PIMCO

PIMCO is a global leader in active fixed income with deep expertise across public and private markets. We invest our clients' capital across a range of fixed income and credit opportunities, leveraging our decades of experience navigating complex debt markets. Our flexible capital base and deep relationships with issuers have helped us become one of the world's largest providers of traditional and nontraditional solutions for companies that need financing and investors who seek strong risk-adjusted returns. Since 1971, our people have shaped our organization through a high-performance inclusiv