VP, GE Analytics Delta-One Quant

What is the opportunity?

The GE Quantitative Analytics team is looking for an experienced Delta-One desk quant to scale up our business. In this role, the candidate will help improve various aspects of swap systems and provide front-office quant support. The candidate is expected to have in-depth knowledge and a solid understanding of relevant financial mathematics and modeling, be familiar with most common Delta-One products (and swaps in particular), 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 Delta-One traders - help with trading's pricing needs, investigate and resolve Risk/PNL and other related issues (e.g. making model adjustments, and adapting new calculation methodologies and data output structures - as requirements emerge through live client flow).

• Analytics Development: improve the overall analytics quality, performance, and product & model coverage - more specifically, to

  • Provide additional model coverage on futures, convertible bonds, cross-currency funding models (capturing FX basis and funding mismatches for clients trading non-domestic underlying), and on emerging asset classes (e.g. digital assets).

  • Enhance dividend & borrow handling:

    • to better capture dividend uncertainty, corporate-actions impact on dividend expectations; to devise dividend forecasting models covering ordinary, special, and return-of-capital distributions across global markets, including tax treatment by jurisdiction and entity types

    • to more comprehensively incorporate repo rates, stock loan and borrow costs, term funding curves, and hard-to-borrow dynamics so as to ensure swap pricing accurately reflects the desk's cost of carry and financing risk

  • Add product features to support full range of trade terms, lifecycle events, and booking structures required for straight-through processing of client activity

• Process Improvement: pricing automation, booking workflow, risk monitoring and cashflow settlement - more specifically, to

  • Streamline end-to-end custom basket lifecycle - creation, rebalancing, corporate actions, and downstream data delivery - with constituent-level analytics including rebalance P&L attribution and support for intraday composition changes alongside end-of-day baskets

  • Automate inventory internalization by netting longs/shorts across books, and, generate basket proposals for funding swap flow, reducing manual effort and improving response times to clients

• Applications & Platform Development:

  • Generate reports for index decomposition, rebalance analysis, and execution management

  • Develop granular P&L attribution decomposing returns across strategies, clients, trade types, markets, and sectors

  • Improve transparency into positional data to support better trade analysis, risk intelligence, and decision-making

  • Design and build desk-level risk applications providing a holistic view of risk parameters, sensitivities, and trade attributes across the book

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: VP or Director level with

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

  • working knowledge of financial instruments pricing framework, model data structure, and Risk & PNL implementations

  • hands-on development work in the pricing analytics & familiarity with common Delta-One and vanilla products

• Software: C++ and Python.

• Communications: good communication skills

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

• Flexible work/life balance options

• Work in a dynamic, collaborative, progressive, and high-performing team

• Ability to make a difference and lasting impact

The Expected Salary Range For The Above Position Is $135,000 - $225,000 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

Job Skills

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.