Quantitative Analyst - Associate
What is the opportunity?
As part of the mortgage modelling team you will be providing ongoing and advanced mathematical modelling and programming in support of the regulatory computations and CCAR filings.
We are a team that prides itself on high quality work with significant impact across the bank and continuous interaction with other groups, senior management and regulators.
What will you do?
- Research, develop and implement mathematical mortgage models
- Support the modelling requirements for the regulatory group preparing CCAR filings
- Clean and incorporate loan level data provided by the banks for the purposes of building, fitting, and running mortgage models on the bank books
- Participate in the process of submitting mortgage models for vetting and use in the bank's risk framework.
- Escalate operational risk loss events, control deficiencies and risks that you identify to your line manager and the relevant risk and control functions promptly.
What do you need to succeed?
- Knowledge of agency and non-agency Mortgage Products and Mortgage Backed Securities (write text)
- Knowledge of mortgage whole loans and HELOCs.
- Extensive knowledge of the market standard databases related to agency and non-agency MBS and current technology of handling large sets of data.
- Knowledge of third-party systems (1010data, Polypaths, LoanPerformance/CoreLogic, Intex) and analytics as used by MBS risk monitors
- Advanced statistical and data modelling skills
- Advanced numerical and analytical programming skills in C++ or Java.
- Qualifications related to 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.
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.
- We are a team that prides itself for high quality work with significant impact across the bank and continuous interaction with other groups, senior management and regulators
- Given the nature of our work, the opportunity to learn, grow and expand your network is significant.
- Opportunity for interested individuals to work in other relevant areas; such as corporate, retail risk, and with operational stress testing models
Diversity and Equal Opportunity Employment:
RBC is an equal opportunity employer committed to diversity and inclusion. We are pleased to consider all qualified applicants for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, age, disability, protected veterans status or any other legally-protected factors.
City: New York
Work Hours/Week: 40+
Work Environment: Regional Office
Employment Type: Regular - U.S.
Career Level: Experienced Hire/Professional
Pay Type: Salary + Variable Bonus
Required Travel: 0
People Manager: No
Job Posting End Date: 07/30/2016
Req ID: 109647