Senior Manager, Quantitative Modelling

RBC; Toronto; On-site; CAD 125,000 - 150,000; Full time

Job summary

A leading financial institution in Toronto is seeking a Quantitative Modelling Senior Manager. In this role, you will be responsible for derivative model creation, validation, and analytics, essential for supporting investment decisions and risk management. Candidates should possess strong derivative pricing knowledge and relevant programming experience. The position offers competitive compensation and opportunities for professional development.

Benefits

A comprehensive Total Rewards Program

Opportunities for professional development

Dynamic and collaborative team environment

Qualifications

• Strong understanding in derivative pricing, especially interest rate swaps and cross currency swaps.
• Over 2 years of proficient programming experience in asset and risk modeling.
• Experience in communicating model results, assumptions, and limitations.

Responsibilities

• Design and maintain derivative models for pricing and analytics.
• Collaborate with teams to deliver analytics for hedging strategies.
• Contribute to model governance and documentation.

Skills

Strong understanding in derivative pricing

Trading experience

Proficient programming experience

Strong analytics skills

Communication skills

Education

Post-secondary education in Financial Modeling or related

Tools

Bloomberg

Excel Add-in

Job description

Overview

The Quantitative Modelling Senior Manager will assist Chief Investment Office in this newly created position and be the lead person responsible for derivative 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.

Responsibilities

• Design, implement, submission for model validation, maintain models, such as: Linear Models, interest rate swaps, single currency asset swaps, cross currency asset swap models and 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.

Qualifications

• Must-have: Strong understanding in derivative pricing, particularly in the interest rate swaps and cross currency swaps.
• Trading experience or working closely with traders in the derivative markets
• Practical grasp of market participants and market conventions on curve construction, accounting basis, and volatility surface
• Over 2 years proficient programming experience in the asset and risk modeling
• Strong analytics and communication skills to explain model results, assumptions and limitations
• Post-secondary education (Financial Modeling, Financial Engineering, Applied Mathematics or a related background)
• Experience in Bloomberg, Excel Add-in and knowledge of derivative pricing

Nice-to-have

• Strong knowledge in the insurance asset liability management
• Familiarity with derivative overlay strategy and derivative risk hedging strategy

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
• 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 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: 2025-09-24
• Application Deadline: 2025-10-24

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

Inclusive 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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