Derivative Model Developer

RBC; Toronto; On-site; CAD 90,000 - 120,000; Full time

Job summary

RBC is seeking a derivative specialist to lead model creation and validation while supporting investment decisions and risk management using the firm's proprietary Felix system. The ideal candidate will have a strong quantitative background and experience in derivative pricing, contributing to a high-performing team in Toronto.

Benefits

Comprehensive Total Rewards Program including bonuses and flexible benefits

Work in a dynamic, collaborative, high-performing team

Opportunities for career advancement

Access to various job opportunities across business and geographies

Qualifications

• 4-7 years hands-on experience with Felix system or equivalent tools for derivative pricing.
• Proficiency in Python, R, or similar for model development and data analysis.
• Excellent communication skills and ability to collaborate across teams.

Responsibilities

• Design and maintain derivative models like interest rate and cross currency swaps.
• Utilize RBC Internal Felix System for risk analysis and valuation.
• Collaborate with portfolio managers and traders for actionable analytics.

Skills

Client Counseling

Competitive Markets

Critical Thinking

Financial Instruments

Financial Regulation

Investment Risk Management

Long Term Planning

Quantitative Methods

Risk Management

Education

Bachelor’s or master’s degree in quantitative finance

Financial Engineering

Applied Mathematics

Tools

Felix system

Snowflake

Tableau

Job description

Job Summary

Job Description

What is the Opportunity?

The derivative specialist will assist Chief Investment Office in this newly created position and be the lead person responsible for derivate model creation, model validation and maintenance. The successful candidate will play a key role in supporting investment decision making, portfolio construction, and risk management by developing robust models and leveraging in RBC Capital Market’s Derivative Pricing System (Felix) for derivative pricing and analytics.

What Will You Do?

• Design, implement, submission for model validation, maintain models, such as:
  • Linear Models: interest rate swap, single currency asset swaps
  • Cross currency asset swap models
  • Non-Linear (Option) Models
• Create of a valuation process for off balance sheet exposures
• Utilize RBC Internal Felix System to conduct instrument level and portfolio level key risk analysis, including valuation, sensitivity, scenario analysis and stress testing.
• Collaborate with other portfolio managers, traders, data analysts and risk teams to deliver actionable analytics for hedging strategies, derivative overlays, and relative value trade.
• Support the integration of model output and derivative analytic into the firms’ risk and performance systems.
• Contribute to the model governance, documentation and validation process to ensure compliance with internal standards and regulatory framework.

What do you need to succeed?

Must-have

• Bachelor’s or master’s degree in quantitative finance, Financial Engineering, Applied Mathematics or a related field.
• 4-7 year hands on experience with Felix system or equivalent tools for derivative pricing and analytics.

Nice-to-have

• Knowledge of Snowflake and Tableau would be an Asset.
• Programming proficiency in Python, R, or similar for model development and data analysis.
• Excellent communication skills and ability to collaborate across investment, risk and other functional partners.

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 and competitive compensation
• RBCI software tools to boost your productivity
• Leaders who support your development through coaching and managing opportunities
• Work in a dynamic, collaborative, progressive, and high-performing team
• Opportunities to take on progressively greater accountabilities
• Access to a variety of job opportunities across business and geographies

Job Skills

Client Counseling, Competitive Markets, Critical Thinking, Financial Instruments, Financial Regulation, Investment Risk Management, Long Term Planning, Quantitative Methods, Risk Management

Additional Job Details

Address:

RBC CENTRE, 155 WELLINGTON ST W:TORONTO

City:

TORONTO

Country:

Canada

Work hours/week:

37.5

Employment Type:

Full time

Platform:

INSURANCE

Job Type:

Regular

Pay Type:

Salaried

Posted Date:

2025-05-23

Application Deadline:

2025-06-25

Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above

Inclusion and Equal Opportunity Employment

At 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.

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