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About the Role

The GE Quantitative Analytics team is seeking an experienced quantitative analyst to enhance our pricing and risk framework, focusing on renovating the quant library. The ideal candidate will possess a strong understanding of financial mathematics and modeling, familiarity with quant analytics architecture, experience in implementing scalable solutions, and effective communication skills with both technical and quantitative colleagues.

Responsibilities

Improve overall library design for performance and scalability.
Lead modernization of legacy pricing libraries to current C++ standards (C++17/20).
Refactor monolithic codebases into modular, testable components with clean separation of concerns.
Design clean, stable APIs that abstract pricing complexity from downstream consumers.
Build messaging and serialization layers for efficient cross-system communication.
Manage the analytics codebase, including library testing and release.
Establish and enforce coding standards, API design patterns, and documentation practices.
Collaborate with technology teams to ensure library interfaces are robust, versioned, and well-documented.

Requirements

Advanced degree (MS/PhD) in computer science, mathematical finance, applied mathematics/statistics, physics, engineering, or a related field.
VP or Director level experience.
Minimum of 3 years of quant library development experience, skilled in mapping derivatives pricing requirements into a framework backed by abstract computer linguistic.
Good understanding of equity derivatives pricing, exposures to generic Monte-Carlo, PDE, and product scripting.
Experience in financial instruments, model data structure, risk-engine implementations, and designing library APIs.
Knowledge in C++ 20/17/14, proficiency in modern C++ (STL, move semantics, templates, initialization lists).
Good communication skills.

Skills

C++17/20
C++
STL
Move semantics
Templates
Initialization lists
Derivatives pricing
Monte-Carlo
PDE
Product scripting
Financial instruments
Model data structure
Risk-engine implementations
API design
Messaging layers
Serialization layers
FlatBuffers
Protobuf
SIMD
Hardware intrinsic (AVX512/AVX256/SSE42)
Multi-thread computation
Vectorized computation
GPU (CUDA/OpenCL)
Debugging tools
Memory check tools (msbuildValgrind/ASAN)
C FFI
C# p/invoke
Pybind11

Location

BROOKFIELD PLACE FKA 3 WORLD FINANCIAL CENTER, 200 VESEY STREET:NEW YORK
New York
United States of America

Work Type

Full time
Salaried

Experience Level

VP or Director level
3-years of quant library development experience

Education Level

MS/PhD in computer science, mathematical finance, applied mathematics/statistics, physics, engineering and a related field

Salary/Compensations

$210,000 - $275,000
Potential to earn more through RBC's discretionary variable compensation program

Benefits

Bonuses
Flexible benefits
Competitive compensation
Commissions
Stock where applicable
Coaching and managing opportunities
Opportunities to do challenging work
Opportunities to take on progressively greater accountabilities

About the Company

At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One RBC.
We believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world.
Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities.
RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.
Expand your limits and create a new future together at RBC.
Find out how we use our passion and drive to enhance the well-being of our clients and communities at jobs.rbc.com.

Equal Opportunity

RBC is presently inviting candidates to apply for this existing vacancy.
Qualified applicants may be contacted to review their resume in more detail.