Senior Quantitative Risk Analyst

Royal Bank of Canada • New York, NY

86d • $143,000 - $143,000

About The Position

Senior Quantitative Risk Analyst, RBC Capital Markets LLC, New York, NY: Apply quantitative and programming skills to research, develop, test, and implement securitized products and structured credit pricing, default, and loss models. Build and maintain agency and non-agency mortgage prepayment and default models. Build front office analytic tools for trading and risk. Work in a fast-paced trading floor environment, effectively collaborating with traders, risk managers, IT and other functions to support trading activities. Proactively identify operational risk/control deficiencies in the business. Review and comply with Firm Policies applicable to CFG business activities (funding, trading, and investment). Escalate operational risk loss events, control deficiencies and risks that you identify to your line manager and the relevant control functions on a timely basis. Conduct data analysis, simulation and forecasting with statistical and machine learning techniques. Leverage object-oriented programming (OOP) principles, utilizing C++, Python and R programming languages to implement high performance model libraries. Integrate prepayment models into PolyPaths system with Intex API. Construct and maintain databases for ensuring persistence and availability of mortgage-backed securities data (EMBS, Intex and CoreLogic).

Requirements

• Master's Degree or foreign equivalent in Financial Engineering, Quantitative Finance, or a related field.
• 2 years of related work experience.
• 2 years of experience in C++.
• 2 years of experience in Python.
• 2 years of experience in R.
• 2 years of experience in Numerical and Statistical Analysis.
• 2 years of experience in Fixed Income Securities Modeling.
• 1 year of experience in SQL.
• 1 year of experience in Excel VBA.
• 1 year of experience in Machine Learning.

Nice To Haves

• Client Counseling
• Critical Thinking
• Derivatives
• Economic Analysis
• Financial Instruments
• Investment Banking Analysis
• Investment Risk Management
• Market Risk
• Quantitative Methods

Responsibilities

• Apply quantitative and programming skills to research, develop, test, and implement securitized products and structured credit pricing, default, and loss models.
• Build and maintain agency and non-agency mortgage prepayment and default models.
• Build front office analytic tools for trading and risk.
• Collaborate with traders, risk managers, IT and other functions to support trading activities.
• Identify operational risk/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 to line manager and relevant control functions.
• Conduct data analysis, simulation and forecasting with statistical and machine learning techniques.
• Utilize C++, Python and R programming languages to implement high performance model libraries.
• Integrate prepayment models into PolyPaths system with Intex API.
• Construct and maintain databases for mortgage-backed securities data.

Benefits

• 401(k) program with company-matching contributions
• Health insurance
• Dental insurance
• Vision insurance
• Life insurance
• Disability insurance
• Paid time-off plan

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Industry: Credit Intermediation and Related Activities
• Education Level: Master's degree