Vice President, Quantitative Analytics

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What is the opportunity?

You will develop and maintain C++ libraries, which form part of a market risk management system (the “Risk Modernization” or “Risk Mod” program). Risk Mod provides a uniform risk interface across diverse trading desks, and in particular, allows the bank’s Group Risk function to define and execute standardised risk measures across those trading desks.

Your focus will be the libraries that i) generate instructions for market data shocks/pricing and, ii) calculate risk measures from the scenario outputs. With an understanding of the full Risk Mod pipeline and the role of the Expansion and Recomposition components within it, you will maintain and extend the functionality of these libraries. You will also maintain the technological infrastructure used to build and publish these libraries, and liaise with library users.

This position is full time and will require you to work a minimum of 4 days in the office per week with the option to work one day from home.

What will you do?

• Develop an understanding of the Risk Mod system as a whole, and the role of the libraries within that system.
• Develop new features and functionality in C++ within the libraries, maintain existing functionality, and diagnose and resolve problems arising within the system.
• Develop tests, and understand the critical importance of maintaining correctness and backward compatibility when modifying the library.
• Develop an understanding of the risk measures calculated within Risk Mod, which may include Greeks/sensitivities, market data scenarios such as ladders and grids, and ad hoc/full reval scenarios.
• Develop tools to assist in the execution and analysis of risk measures, and to simulate the Risk Mod pipeline as a whole.
• Explain library functionality to both technical and non-technical colleagues.
• Document functionality and working practices; make functionality and processes transparent to others.
• Maintain the CI infrastructure used to build and publish the libraries.
• Liaise with direct colleagues and with other teams including development teams, project managers and risk system users.
• Embrace new development and productivity practices and initiatives (eg CoPilot) both in development and in other areas (eg documentation).

What do you need to succeed?

Must-have

• Ability to analyze complex data, documents and workflows, understand risk requirements, and interpret results.
• Knowledge of financial instruments (primarily derivatives products), risk measures (eg sensitivities and scenarios) and risk calculation methodologies (eg Finite-Difference calculations) across different trading desks.
• C++ (ideally to C++14 or beyond) and Python. Experience of development on Windows (Visual C++) and Unix/Linux. Experience of git source control, docker, continuous integration and testing systems and build scripting.
• Strong understanding of financial markets and instruments: Knowledge of various asset classes, derivatives products and risk measures.
• Risk management expertise: Familiarity with risk management frameworks, methodologies, and tools.

Nice-to-have

• Ideal but not essential – java, json parsing/processing.
• Experience with modern development/productivity tools such as Github Co-Pilot.
• An interest in presenting complex functionality and processes in intuitive ways, e.g. using graphical representations.

What is 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.

• A comprehensive Total Rewards Program including bonuses, flexible benefits and competitive compensation
• Leaders who support your development through coaching and managing opportunities
• Opportunities to work with the best in the field
• Ability to make a difference and lasting impact
• Work in a dynamic, collaborative, progressive, and high-performing team
• A world-class training program in financial services.

Agency Notice

RBC Group does not accept agency resumés. Please do not forward resumés to our employees, nor any other company location. RBC Group only pay fees to agencies where they have entered into a prior agreement to do so and in any event do not pay fees related to unsolicited resumés. Please contact the Recruitment function for additional details.

Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above.

Inclusion and Equal Opportunity Employment

At RBC, we believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.

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