Vice President, Quantitative Analyst

RBC•New York, NY

22d

About The Position

What is the opportunity? The Cross Asset Quantitative Analytics team focus on both supporting specific business operations and engaging in complex enterprise-wide initiatives. In this role you will be responsible for developing / implementing new and maintaining / enhancing the existing rate and spread product models, with a heavy emphasis on those used for the residential mortgage loan origination, as well as cash flow and balance sheet forecasting. One of this role’s main contributions will be ensuring that the firm’s front-office, accounting and risk analytical framework follows the best practice, meets the users’ requirements, and can accommodate the future market and regulatory conditions. What will you do? Apply quantitative skills to design, implement, test, and roll out the rate and spread product models in the current and future analytical environment. Support RBC businesses by assisting the traders, risk managers, and product controllers in understanding the models and interpreting the model outputs. Support the preparation of model documentation and validation submissions, as well as tracking the model performance, per the internal policies and regulatory guidelines. Review and comply with the firm policies applicable to business activities. Escalate operational risk loss events, control deficiencies and risks identified to the line manager and the relevant risk and control functions on a timely basis. What do you need to succeed? Must-have Ph.D or Master’s degree in one of quantitative areas such as mathematics, statistics, physics or computer science. 5+ years solid knowledge of financial instruments and derivatives, such as securitized products, bonds, IR swaps, futures, and options, as well as related pricing and risk management models. 2-3+ years hand-on experience in developing the U.S. residential mortgage models. Excellent analytical skills, and proficient in at least one of the programming languages such as Python(preferred), C#, and C++. Good communication skills in both verbal and writing. A fast and self-motivated learner who takes the ownership of the projects and deadlines. Nice-to-have Broad knowledge of financial markets and regulations is good to have. Knowledge on QRM, PolyPaths and Intex is a plus. Experience in asset liability management is helpful. What’s in it for you? We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual 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 Opportunities to do challenging work Opportunities to take on progressively greater accountabilities The Expected Salary Range For The Above Position Is $135,000 - $225,000 Depending On Factors Including But Not Limited To The Candidate’s Experience, Skills, Registration Status; Market Conditions; And Business Needs. This Salary Range 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.

Requirements

Ph.D or Master’s degree in one of quantitative areas such as mathematics, statistics, physics or computer science.
5+ years solid knowledge of financial instruments and derivatives, such as securitized products, bonds, IR swaps, futures, and options, as well as related pricing and risk management models.
2-3+ years hand-on experience in developing the U.S. residential mortgage models.
Excellent analytical skills, and proficient in at least one of the programming languages such as Python(preferred), C#, and C++.
Good communication skills in both verbal and writing.
A fast and self-motivated learner who takes the ownership of the projects and deadlines.

Nice To Haves

Broad knowledge of financial markets and regulations is good to have.
Knowledge on QRM, PolyPaths and Intex is a plus.
Experience in asset liability management is helpful.

Responsibilities

Apply quantitative skills to design, implement, test, and roll out the rate and spread product models in the current and future analytical environment.
Support RBC businesses by assisting the traders, risk managers, and product controllers in understanding the models and interpreting the model outputs.
Support the preparation of model documentation and validation submissions, as well as tracking the model performance, per the internal policies and regulatory guidelines.
Review and comply with the firm policies applicable to business activities.
Escalate operational risk loss events, control deficiencies and risks identified to the 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
Opportunities to do challenging work
Opportunities to take on progressively greater accountabilities
A Discretionary Bonus
A 401(K) Program With Company-Matching Contributions
Health, Dental, Vision, Life And Disability Insurance
Paid Time-Off Plan