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 (Structured Credit)
Builds
Pricing models, prepayment/default models, and analytic tools for trading and risk management.
Domain
Fixed Income / Structured Credit / Mortgage-Backed Securities
Deliverable
production ML models | product features
Required skills
C++, Python, R, SQL, statistical modeling, machine learning, stochastic processes, time-series analysis, regression analysis, Markov models, OAS assessment, data pipeline automation, unit testing, performance optimization.
Preferred skills
Object-oriented programming (OOP), cloud computing integration, database construction and maintenance.
Responsibilities
Research and implement securitized products and structured credit models; build and maintain mortgage prepayment and default models; develop front office analytic tools; conduct data analysis, simulation, and forecasting; integrate models into PolyPaths system; construct and maintain databases for mortgage-backed securities data.
Seniority
Vice President, Senior IC