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The function is that of a desk quant supporting the specialist portfolio managers for commodity products. PIMCO's commodity desk trades listed and OTC derivatives across energy, agricultural, metals and power markets. Projects and tasks include:
Develop tools and studies for relative value analysis of instruments and the evaluation of trading opportunities
Develop and enhance models generating risk numbers for the management of existing and new commodity positions in PIMCO's night cycle
Develop enhancements to the Python eco-system for rapid development of pre-trade analytics used by portfolio managers
Provide quantitative support and expertise to portfolio managers
Contribute to the enhancement of PIMCO's technology infrastructure for commodity and quant strategies
Strong general quantitative skills, specifically financial mathematics, probability, statistics, econometrics. The ideal candidate will have demonstrated research skills and achieved an advanced (PhD) degree in a scientific field of study such as mathematics, financial economics, econometrics, or physics. Exceptional candidates who have a Master's degree will be given consideration.
The role primarily requires statistical modelling of commodity specific processes. Risk neutral derivatives modelling knowledge is useful, but more important are good statistical and econometric modelling skills.
Strong commodities specific modelling experience, e.g. in power markets, weather derivatives, oil and natural gas modelling, is required
The candidate must be very comfortable programming in a scripting language, preferably Python or Matlab, with the ability to deliver quality software tools. In addition proficiency in C++ programming is desirable.
Other Considerations The candidate should have 2 -5 years of experience as a commodity quant. This will have been gained either supporting a sell-side trading desk or at a quantitatively oriented asset manager dealing in commodities. Outstanding junior candidates with relevant commodities knowledge e.g. from a PhD degree are a possible fit as well. The role is based in Newport Beach.
We are an Equal Opportunity Employer and do not discriminate against any employee or applicant for employment because of race, color, sex, age, national origin, religion, sexual orientation, gender identity, status as a veteran, and basis of disability or any other federal, state or local protected class.