Quantitative Research Analyst – Mortgages

About the role

PIMCO is expanding its alternatives business and seeks a quantitative analyst to join the London front‑office mortgage analytics team. You will support portfolio managers by developing and implementing pricing models for mortgage‑backed securities and related structured products.

Key responsibilities

• Cover RMBS and broader ABS markets across core and peripheral Europe (UK, Netherlands, Spain, Italy).
• Focus on non‑agency, complex structures such as mezzanine/equity tranches and legacy securitized assets.
• Analyse loan‑level cash‑flows, collateral, recovery assumptions and structural waterfalls for illiquid mortgage credit.
• Develop new pricing models and code them in Python, integrating with large existing code bases.
• Collaborate closely with portfolio managers and contribute to the team’s quantitative infrastructure.

Required profile

• Master’s degree or PhD in Mathematics, Physics, Statistics, Engineering or (Mathematical) Finance.
• Familiarity with mortgage products and experience in front‑office quant (sell‑side or buy‑side) environments.
• Strong analytical mindset with the ability to work on complex, bespoke transaction features.

Required skills

• Python programming.
• Mortgage analytics and modelling.
• Intex or similar structured‑product analytics tools.
• Data analysis and empirical modelling.

What we offer

• Opportunity to work within a global leader in fixed‑income investing.
• Exposure to a wide range of mortgage‑backed securities and structured credit.
• Collaborative, inclusive culture that values diverse thinking.