Vice President, CM Quantitative 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 highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models. As a pivotal technical expert within our Capital Markets division, you will engineer mathematical frameworks for yield curve dynamics, option-embedded fixed income valuation, and mortgage portfolio hedging. This role is ideal for candidates with advanced backgrounds in Quantitative Finance, Applied Mathematics, Theoretical Physics, or Aerospace Engineering who thrive on applying complex partial differential equations (PDEs), stochastic calculus, and numerical simulation methods to residential mortgage-backed securities (MBS) and mortgage servicing rights (MSR). The Vice President, Quantitative Research will: Interest Rate Modeling: Architect, calibrate, and enhance stochastic term-structure models (e.g., Hull-White, Black-Karasinski, SABR, Heath-Jarrow-Morton) tailored to the mortgage market. Option Pricing & Derivatives Valuation: Evaluate interest rate derivatives (swaptions, caps/floors, swaption volatility surfaces) and embedded options within mortgage instruments. Fixed Income Pricing: Design valuation frameworks for complex fixed income products, including Agency/Non-Agency MBS, Whole Loans, and MSR cash flows. Pipeline & Portfolio Hedging Support: Partner with trading desks to provide quantitative analytics for pipeline hedging, key rate duration (KRD) sensitivity analysis, and convexity metrics. Model Validation & Risk Infrastructure: Implement robust testing, stress testing, and documentation standards to comply with internal risk governance and model validation policies. What You’ll Bring Education: Ph.D. or Master’s degree in Applied Mathematics, Applied Economics, Statistics, Theoretical Physics, Aerospace/Mechanical Engineering, Financial Engineering, or a heavily quantitative discipline preferred. Experience: 5+ years of experience in capital markets, quantitative development or fixed income analytics with a Master's degree, or 3+ years of post-degree with a Ph.D. Mathematical Proficiency: Strong foundation in stochastic calculus, partial differential equations (PDEs), linear algebra, Monte Carlo simulation, and numerical analysis. Programming Skills: Expert proficiency in Python, C++, or R for quantitative development, along with SQL for handling large financial datasets. Domain Knowledge: Understanding of fixed income mathematics, yield curve dynamics, swaptions, and residential mortgage cash flow mechanics (MBS/MSR/Prepayment concepts preferred). 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 covered. Some key benefits include: Comprehensive Medical, De