Senior Quantitative Risk Analyst

Royal Bank of Canada•New York, NY

110d

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. The base salary for this job is $143,000.00 per year. This salary does not include other elements of total compensation, including a discretionary bonus and benefits such as a 401(k) program with company-matching contributions; health, dental, vision, life and disability insurance; and paid time-off plan. RBC’s compensation philosophy and principles recognize the importance of a highly qualified global workforce and plays a critical role in attracting, engaging and retaining talent that: · Drives RBC’s high-performance culture · Enables collective achievement of our strategic goals · Generates sustainable shareholder returns and above market shareholder value To Apply: Please click “Apply Now” Button

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).