Senior Quantitative Risk Analyst
Description
The Senior Quantitative Risk Analyst at RBC Capital Markets LLC in New York is responsible for applying quantitative and programming skills to research, develop, test, and implement securitized products and structured credit pricing, default, and loss models. This role involves building and maintaining mortgage prepayment and default models, developing front office analytic tools, and collaborating with various teams in a trading floor environment. Responsibilities also include data analysis, simulation, forecasting using statistical and machine learning techniques, and implementing high-performance model libraries with C++, Python, and R. The analyst will also integrate prepayment models into the PolyPaths system and maintain mortgage-backed securities databases.
What We're Looking For
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.,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.
Ideal Candidate
Master's Degree or foreign equivalent in Financial Engineering, Quantitative Finance, or a related field.
Minimum Education
Master's Degree
Hard Skills
Soft Skills
Work Hours
40 hours/week
Benefits
About the Company
Royal Bank of Canada
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. As Canada's largest bank, it provides personal and commercial banking, wealth management, and capital markets services to over 17 million clients worldwide.
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