Vice President, Senior Front Office Quant, RBC Capital Markets, LLC, New York, NY:
Core
Develop, test, and implement securitized products and structured credit pricing/default/loss models; build front office analytic tools for trading and risk.
Role type
Senior Front Office Quantitative Analyst (VP level)
Builds
Pricing models, prepayment/default models, and analytic tools for trading and risk management.
Domain
Financial Services / Structured Credit / Mortgage-Backed Securities
Deliverable
production ML models
Required skills
C++, Python, R, SQL, statistical modeling, machine learning, fixed income modeling, structured products modeling, data pipeline development, performance optimization, unit testing, OOP principles.
Preferred skills
N/A
Technologies
PolyPaths, Intex, CoreLogic, EMBS, C++, Python, R, SQL
Responsibilities
Research and develop securitized products and structured credit pricing models; build and maintain mortgage prepayment and default models; construct and maintain databases for mortgage-backed securities data; integrate prepayment models into PolyPaths system; conduct data analysis, simulation, and forecasting using statistical and ML techniques; collaborate with traders, risk managers, and IT; identify and escalate operational risks.
Seniority
Vice President, Senior IC