Senior Quantitative Risk Analytics Lead

Royal Bank of Canada; New York (NY); On-site; USD 135,000 - 225,000; Full time

Job summary

Royal Bank of Canada in New York seeks a quantitative professional to develop, deliver, and support advanced mathematical models and pricing applications for the trading desk. You will provide modeling and analytical support to front office and non-front office groups, and contribute to desk projects and secondments.

The role involves frontline quantitative support for North America Structured Rates Trading with ongoing risk/model marking, alongside collaboration with EMRM and GRM to vet and

Qualifications

• Degree in Mathematics/Physical Sciences/Financial Mathematics.
• Knowledge of derivatives and financial products, for trading, pricing and risk management.
• Knowledge of programming (C++ / Python) and software systems.

Responsibilities

• Gather new requirements from the trading desk and manage delivery of solutions through quant libraries and associated IT systems.
• Management and ownership of existing pricing tools and operational framework; implementation of new ones.
• Front line, daily quantitative support and responsibility for North America Structured Rates Trading (SRT) overnight processes, such as risk and model marking.
• Desk projects calibrating and assessing performance of pricing and risk models.
• Agile modelling and mathematical valuation for pricing and risk of new products.
• Co-ordination with EMRM and GRM as part of the process of submitting front office developed models for vetting and use in the bank's risk framework.
• Proactively identify operational risks/ control deficiencies in the business
• Review and comply with Firm Policies applicable to your business activities
• Escalate operational risk loss events, control deficiencies and risks that you identify to your line manager and the relevant risk and control functions on a timely basis.
• Identify, assist and manage operational risks/control deficiencies in the business.
• Help to recruit, retain and develop top talent.

Skills

C++ programming

Python programming

Microsoft Excel

Education

Degree in Mathematics/Physical Sciences/Financial Mathematics

Job description

Royal Bank of Canada in New York seeks a quantitative professional to develop, deliver, and support advanced mathematical models and pricing applications for the trading desk. You will provide modeling and analytical support to front office and non-front office groups, and contribute to desk projects and secondments.

The role involves frontline quantitative support for North America Structured Rates Trading with ongoing risk/model marking, alongside collaboration with EMRM and GRM to vet and