RBC Capital Markets LLC is looking for a Senior Quantitative Risk Analyst to develop and implement models for securitized products and structured credit, manage mortgage prepayment and default models, and build front-office analytic tools to support trading activities in a fast-paced trading floor environment.
Requirements
- C++
- Python
- R
- Numerical and Statistical Analysis
- Fixed Income Securities Modeling
- SQL
- Excel VBA
- Machine Learning
Responsibilities
- 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.
- 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).
Other
- 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.
- 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.
- Full time employment, Monday – Friday, 40 hours per week
- Client Counseling, Critical Thinking, Derivatives, Economic Analysis, Financial Instruments, Investment Banking Analysis, Investment Risk Management, Market Risk, Quantitative Methods
