Director, Senior Front Office Prepayment and Credit Quant

Royal Bank of Canada • New York, NY

11d • $210,000 - $275,000

About The Position

The Director, Senior Front Office Prepayment and Credit Quant focuses on developing, implementing, and maintaining securitized products and structured credit default, prepayment, and pricing tools and otherwise providing analytic support to front office acquisition, management, and disposal of structured assets.

Requirements

• PhD in Mathematics, Statistics, Computer Science, Engineering, Physical Sciences, or other numerate discipline
• 7+ years’ experience in securitized products model development including default / loss severity modeling
• Excellent skills and hands-on experience in model design and coding
• Excellent knowledge of MBS (agency/non-agency) and ABS
• Outstanding written and verbal communication skills

Responsibilities

• Apply quantitative and programming skills to research, develop, test, and implement structured credit pricing / default / loss models
• Build and maintain agency and non-agency mortgage prepayment and default models
• Build front office analytic tools for trading and risk
• Proactively identify operational risks/ control deficiencies in the business
• Review and comply with Firm Policies applicable to CFG business activities
• Escalate operational risk loss events, control deficiencies and risks that you identify to your line manager and the relevant risk and control functions on a timely basis

Benefits

• A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation, commissions, and stock where applicable
• Leaders who support your development through coaching and managing opportunities
• Ability to make a difference and lasting impact
• Work in a dynamic, collaborative, progressive, and high-performing team
• A world-class training program in financial services
• Flexible work/life balance options
• Opportunities to do challenging work

What This Job Offers

• Job Type: Full-time
• Career Level: Director
• Education Level: Ph.D. or professional degree