Quantitative Analyst
RBC - New York, NY

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City: New York

Address: 3WFC

Work Hours/Week: 40

Work Environment: Office

Employment Type: Permanent

Pay Type: Salaried

Exempt/Non-Exempt: Exempt

% Travel Required: 0-25

People Manager: No

Job Posting End Date: 05/26/2013


Ongoing and advanced mathematical modelling and programming to support and facilitate trading.

• Conduct strategic market data analysis as requested by trading.
• Research, development and implementation of mathematical models for the pricing of Mortgage Backed and Asset Back Securities.
• Support the modelling requirements of the trading staff as needed.
• Development and implementation of miscellaneous tools to support trading and risk management activities.
• Maintainance and improvement of existing pricing tools and operational framework.
• Ensure that any models developed are fully and properly integrated into the quant libraries.
• Co-ordination with GMO and GRM as part of the process of submitting front office developed models for vetting and use in the banks 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 promptly.
• Tenacious and Adaptable.
• Committed team player with a flexible, enthusiastic attitude and good communication.
• Ability to apply quantitative analysis to structured products transactions.
• Ability to work independently, propose and implement innovative analytical solutions and drive support and development projects to completion
• Knowledge of agency and non-agency Mortgage Products and Mortgage Back Securities.
• Extensive knowledge of the market standard database related to agency and non-agency MBS and current technology of handling large sets of data.
• Knowledge of third-party systems (1010data, LoanPerformance/CoreLogic, Intex) and analytics as used by the MBS FO
• Advanced statistical and data modeling skills
• Advanced numerical and analytical programming skills in C++ and VBA.
• Spreadsheet development experience.
• Very high qualifications on the physical sciences, mathematics, and computing.
• Knowledge of derivatives and financial products, for trading, pricing and risk management.
• Knowledge of relevant applications and risk managements systems and IT.
• Prefer a postgraduate degree in a highly numerate discipline such as finance, economics, engineering, physics, mathematics, or computing.

Diversity in the workplace, one of our shared values, lies at the heart of our rewarding, open, supportive and inclusive work environment. We respect and respond to the many competing and evolving priorities in our lives so you can focus on what you can do best – put clients first.


About RBC:
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RBC - 17 months ago - save job - block
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