Sr Analyst, Quant Research at PennyMac Financial Services in Westlake Village, CA

Job description

PENNYMAC Pennymac is (NYSE: PFSI) is a specialty financial services firm with a comprehensive mortgage platform and integrated business focused on the production and servicing of U.S. mortgage loans and the management of investments related to the U.S. mortgage market. At Pennymac, our people are the foundation of our success and at the heart of our dynamic work culture. Together, we work towards a unified goal of helping millions of Americans achieve aspirations of homeownership through the complete mortgage journey. A Typical Day 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). The Senior Analyst, Quantitative Research will: Model Implementation & Maintenance: Assist in coding, testing, and maintaining quantitative tools for prepayment models, interest rate models, yield curve calibration, and option pricing. Financial Data Engineering: Build pipelines to clean, structure, and analyze large capital markets datasets (e.g., yield curves, swaption volatility surfaces, benchmark Treasury rates). Derivatives & Valuation Support: Run daily valuation scripts and risk analytics (e.g., duration, convexity, key rate durations) for fixed income products, whole loans, and MSR portfolios. Capital Markets Analytics: Collaborate with trading and hedging desks to produce ad-hoc analytical reports, backtest trading strategies, and execute sensitivity analyses. Model Documentation: Write technical documentation and run validation tests to support model risk governance requirements. What You’ll Bring Education: 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) Experience: 2+ years of professional experience in capital markets, quantitative research, or financial risk management (internship/co-op experience accepted). Programming Skills: 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. Analytical Skills: Excellent problem-solving capabilities with high attention to detail when working with complex financial datasets. Why You Should Join As one of the top mortgage lenders in the country, Pennymac has helped over 4 million lifetime homeowners achieve and sustain their aspirations of home. Our vision is to be the most trusted partner for home. Together, 4,000 Pennymac team members across the country are guided by our core values: to be Accountable, Reliable and Ethical in all that we do. Pennymac is committed to conducting a business that makes positive contributions and promotes long-term sustainable growth and to fostering an equitable and inclusive environment, where all employees and customers feel valued, respected and supported. Benefits That Bring It Home: Whether you're looking for flexible benefits for today, setting up short-term goals for tomorrow, or planning for long-term success and retirement, Pennymac's benefits have you cove