Manager, Quantitative Modelling
RBC CENTRE, 155 WELLINGTON ST W:TORONTO, Canada
CAD 67K-110K Mid-level Full Time
Tasks
- Calculate daily profit and loss and perform attribution analysis
- Define risk sensitivities for fixed income and derivative portfolios
- Develop quantitative risk models
- Enhance risk measurement frameworks
- Leverage generative AI to automate tasks and accelerate code development
- Prepare risk reports for stakeholders
- Price fixed income securities and derivatives
- Validate risk calculations and support new risk tools
Perks/Benefits
- Career development opportunities
- Comprehensive total rewards
- Flexible benefits
- Learning programs
- Stock options
Skills/Tech-stack
Convexity | Credit spread | Derivative pricing | Duration | Fixed Income | Foreign Exchange | Git | Inflation Modeling | Loss Attribution | NumPy | Pandas | Profit and Loss | Profit and Loss Attribution | Python | QuantLib | Risk Management
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
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