Senior Quantitative Risk Analyst
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). #LI-DNI Full time employment, Monday – Friday, 40 hours per week, $143,000.00 per year.
Requirements
- Must have a Master’s Degree or foreign equivalent in Financial Engineering, Quantitative Finance, or a related field and 2 years of related work experience.
- Must have 2 years of experience in each of the following: C++; Python; R; Numerical and Statistical Analysis; and, Fixed Income Securities Modeling.
- Must have 1 year of experience in each of the following: SQL; Excel VBA; and, Machine Learning.
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.
- 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).
Benefits
- a 401(k) program with company-matching contributions
- health, dental, vision, life and disability insurance
- paid time-off plan
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What This Job Offers
Job Type
Full-time
Career Level
Senior
Number of Employees
5,001-10,000 employees
