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About the Role

Responsible for applying 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. Construct front office analytic tools for trading and risk. Collaborate with traders, risk managers, IT, and other functions to support trading activities. Identify operational risk and control deficiencies. Review and comply with Firm Policies. Escalate operational risk loss events, control deficiencies, and risks. Conduct data analysis, simulation, and forecasting using statistical and machine learning techniques. Leverage object-oriented programming (OOP) principles using C++, Python, and R to implement high-performance model libraries. Integrate prepayment models into PolyPaths system with Intex. Construct and maintain databases for mortgage-backed securities data.

Responsibilities

Apply quantitative and programming skills to research, develop, test, and implement securitized products and structured credit pricing/default/loss models.
Build and maintain agency and non-agency mortgage prepayment and default models.
Build front office analytic tools for trading and risk.
Collaborate with traders, risk managers, IT, and other functions to support trading activities.
Identify operational risk/control deficiencies in the business.
Review and comply with Firm Policies applicable to Central Funding Group (CFG) business activities.
Escalate operational risk loss events, control deficiencies, and risks.
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.
Construct and maintain databases for ensuring persistence and availability of mortgage-backed securities data (EMBS, Intex, and CoreLogic).

Requirements

Master’s degree in Financial Engineering, Quantitative Finance, Computational Finance & Risk Management or a related field and 4 years of related work experience.
3 years of experience using Python to develop and deploy quantitative models, build and maintain data pipelines, process large-scale datasets, and integrate with cloud computing environments.
3 years of experience automating analytics and reporting workflows for trading or financial applications.
3 years of experience using C++ to develop and maintain pricing and valuation libraries for fixed income or structured products, support legacy quantitative systems, implement unit testing, and optimize performance.
3 years of experience analyzing P&L attribution and valuation discrepancies.
2 years of experience applying statistical and quantitative techniques, including regression analysis, Markov models, stochastic processes, time-series analysis, risk simulations, and model calibration and back-testing.
2 years of experience modeling fixed income or structured products, including prepayment and credit risk modeling, Value-at-Risk calculations, loan performance transitions, and duration and convexity analysis.
2 years of experience with Option Adjusted Spread (OAS) - based relative value assessment.
1 year of experience using SQL to query large datasets, support data pipelines, and perform data extraction and transformation.
1 year of experience integrating database workflows with analytics or modeling platforms.
1 year of experience applying machine learning techniques, including classification and regression models, and feature engineering.
1 year of experience in model attribution to financial or credit-related datasets.

Skills

Client Counseling
Critical Thinking
Economic Analysis
Financial Derivatives
Financial Instruments
Investment Banking Analysis
Investment Risk Management
Market Risk
Quantitative Methods
C++
Python
R
SQL
Machine Learning
Object-Oriented Programming (OOP)

Location

New York, NY

Work Type

Full time
Telecommuting permitted up to 1 day per week

Experience Level

4 years of related work experience
3 years of experience
2 years of experience
1 year of experience

Education Level

Master’s degree in Financial Engineering, Quantitative Finance, Computational Finance & Risk Management or a related field

Salary/Compensations

$210,000.00 per year

Benefits

401(k) program with company-matching contributions
Health, dental, vision, life and disability insurance
Paid time-off plan

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.

Equal Opportunity

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.