VP/Director - STP Desk Quant

What is the opportunity?

The GE Quantitative Analytics team is looking for an experienced STP desk quant to help scaling up our STP business coverage. In this role, the candidate will provide front-office quant support on STP equity derivatives products and QIS strategies. The candidate is expected to have in-depth knowledge and a solid understanding of relevant financial mathematics and modeling, be familiar with most common STP products and experienced in implementing solutions, and be able to communicate effectively with traders, structurers, back-office, tech and other quants.

What will you do?

• Desk Support: provide desk-support to STP & Corp traders - help with trading's pricing needs, investigate and resolve Risk/PNL and other related issues.

• Analytics Development: pricing library support and enhancement - improve the overall analytics quality, performance and coverage, scripting new payoffs, implementing additional product features, alternative pricing methods etc.

• Research & Modeling: perform statistical analyses & research studies to better understand market dynamics and adopting novel approaches to modeling & risk-hedging.

• Process Improvement: help with pricing automation, booking workflow, risk monitoring and cashflow settlement.

• Application & Data Management: active engagement with tech teams on relevant trading-app designs and data management.

• Testing & Documentation: model-testing framework & documentation tasks, work with risk-control teams on model-approvals and issues resolutions.

What do you need to succeed?

Must have:

• Education: advanced degree (MS/PhD) in mathematical finance, applied mathematics/statistics, physics, engineering and a related quantitative field

• Experience: (senior) VP or Director level with

• A minimum of 3-years of front-desk quant-support experience

• Working knowledge of the Black-Scholes pricing framework and data structure, and Risk & PNL implementations.

• Hands-on development work in the pricing analytics & familiarity with some most common SPT products.

• Software: C++ and Python.

• Communications: good communication skills.

Nice-to-have:

• Products: digital/barrier/asian/lookback options, cliquets, ASR, callables/autocallables, accumulator/decumulator, worst-of/best-of, variance/volatility products...

• Models: LV/SLV, Heston/SABR, rough-vol models...

• Pricing Methods: Analytical, Monte-Carlo (Longstaff-Schwartz), Generic PDE...

• QIS & Hybrids: exposures to QIS development and/or other asset-types (Rates, FX, Credit & Commodity...)

• Data & Back-testing: experiences in data engineering, signal-generation, and trade & hedging analyses...

• ML & AI: experiences in machine-learning techniques and AI.

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.

• A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation, commissions, and stock where applicable

• Leaders who support your development through coaching and managing opportunities

• 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

• Flexible work/life balance options

• Opportunities to do challenging work

• Opportunities to take on progressively greater accountabilities

• Access to a variety of job opportunities across business and geographies

The Expected Salary Range For The Above Position Is $210,000 - $275,000 Depending On Factors Including But Not Limited To The Candidate's Experience, Skills, Registration Status; Market Conditions; And Business Needs.This Salary Range Does Not Include Other Elements Of Total Compensation, Including A Discretionary Bonus And Benefits Such As A 401(K) Program With Company-Matching Contributions; Health, Dental, Vision, Life And Disability Insurance; And Paid Time-Off Plan.
Rbc's Compensation Philosophy And Principles Recognize The Importance Of A Highly Qualified Global Workforce And Plays A Critical Role In Attracting, Engaging And Retaining Talent That:
*Drives Rbc's High Performance Culture
*Enables Collective Achievement Of Our Strategic Goals
*Generates Sustainable Shareholder Returns And Above Market Shareholder Value

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Additional Job Details

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

Our Employment Opportunities

At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One 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. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.

RBC is presently inviting candidates to apply for this existing vacancy. Applying to this posting allows you to express your interest in this current career opportunity at RBC. Qualified applicants may be contacted to review their resume in more detail.