Top Benefits
About the role
Job Description
What is the opportunity?
The Quantitative Modelling Senior Manager will assist Chief Investment Office in this newly created position and be the lead person responsible for derivate model creation, model validation and maintenance. The successful candidate will play a key role in supporting investment decision making, portfolio construction, and risk management by developing robust models and leveraging in RBC Capital Market’s Derivative Pricing System (Felix) for derivative pricing and analytics.
What will you do?
- Design, implement, submission for model validation, maintain models, such as: Linear Models, interest rate swaps, single currency asset swaps, cross currency asset swap models and Non-Linear (Option) Models
- Create of a valuation process for off balance sheet exposures
- Utilize RBC Internal Felix System to conduct instrument level and portfolio level key risk analysis, including valuation, sensitivity, scenario analysis and stress testing.
- Collaborate with other portfolio managers, traders, data analysts and risk teams to deliver actionable analytics for hedging strategies, derivative overlays, and relative value trade.
- Support the integration of model output and derivative analytic into the firms’ risk and performance systems.
- Contribute to the model governance, documentation and validation process to ensure compliance with internal standards and regulatory framework.
What do you need to succeed?
Must-have
- Strong understanding in derivative pricing, particularly in the interest rate swaps and cross currency swaps.
- Trading experience or working closely with traders in the derivative markets
- Practical grasp of market participants and market conventions on curve construction, accounting basis, and volatility surface
- Over 2 years proficient programming experience in the asset and risk modeling
- Strong analytics and communication skills to explain model results, assumptions and limitations
- Post-secondary education (Financial Modeling, Financial Engineering, Applied Mathematics or a related background)
- Experience in Bloomberg, Excel Add-in and knowledge of derivative pricing
Nice-to-have
- Strong knowledge in the insurance asset liability management
- Familiarity with derivative overlay strategy and derivative risk hedging strategy
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 and competitive compensation
- Leaders who support your development through coaching and managing opportunities
- Work in a dynamic, collaborative, progressive, and high-performing team
- Opportunities to take on progressively greater accountabilities
- Access to a variety of job opportunities across business and geographies
Job Skills
Client Counseling, Competitive Markets, Critical Thinking, Financial Instruments, Financial Regulation, Investment Risk Management, Long Term Planning, Quantitative Methods, Risk Management
Additional Job Details
Address:
RBC CENTRE, 155 WELLINGTON ST W:TORONTO
City:
Toronto
Country:
Canada
Work hours/week:
37.5
Employment Type:
Full time
Platform:
INSURANCE
Job Type:
Regular
Pay Type:
Salaried
Posted Date:
2025-09-24
Application Deadline:
2025-10-24
Note**:** Applications will be accepted until 11:59 PM on the day prior to the application deadline date above
I****nclusion 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. 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.
Join our Talent Community
Stay in-the-know about great career opportunities at RBC. Sign up and get customized info on our latest jobs, career tips and Recruitment events that matter to you.
Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at jobs.rbc.com.
About RBC
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. Our success comes from the 94,000+ employees who leverage their imaginations and insights to bring our vision, values and strategy to life so we can help our clients thrive and communities prosper. As Canada's biggest bank and one of the largest in the world, based on market capitalization, we have a diversified business model with a focus on innovation and providing exceptional experiences to our more than 17 million clients in Canada, the U.S. and 27 other countries. Learn more at rbc.com. We are proud to support a broad range of community initiatives through donations, community investments and employee volunteer activities. See how at www.rbc.com/community-social-impact.
La Banque Royale du Canada est une institution financière mondiale définie par sa raison d'être, guidée par des principes et orientée vers l'excellence en matière de rendement. Notre succès est attribuable aux quelque 94 000+ employés qui mettent à profit leur créativité et leur savoir faire pour concrétiser notre vision, nos valeurs et notre stratégie afin que nous puissions contribuer à la prospérité de nos clients et au dynamisme des collectivités. Selon la capitalisation boursière, nous sommes la plus importante banque du Canada et l'une des plus grandes banques du monde. Nous avons adopté un modèle d'affaires diversifié axé sur l'innovation et l'offre d'expériences exceptionnelles à nos plus de 17 millions de clients au Canada, aux États Unis et dans 27 autres pays. Pour en savoir plus, visitez le site rbc.com/francais
Nous sommes fiers d'appuyer une grande diversité d'initiatives communautaires par des dons, des investissements dans la collectivité et le travail bénévole de nos employés. Pour de plus amples renseignements, visitez le site www.rbc.com/collectivite-impact-social.
Top Benefits
About the role
Job Description
What is the opportunity?
The Quantitative Modelling Senior Manager will assist Chief Investment Office in this newly created position and be the lead person responsible for derivate model creation, model validation and maintenance. The successful candidate will play a key role in supporting investment decision making, portfolio construction, and risk management by developing robust models and leveraging in RBC Capital Market’s Derivative Pricing System (Felix) for derivative pricing and analytics.
What will you do?
- Design, implement, submission for model validation, maintain models, such as: Linear Models, interest rate swaps, single currency asset swaps, cross currency asset swap models and Non-Linear (Option) Models
- Create of a valuation process for off balance sheet exposures
- Utilize RBC Internal Felix System to conduct instrument level and portfolio level key risk analysis, including valuation, sensitivity, scenario analysis and stress testing.
- Collaborate with other portfolio managers, traders, data analysts and risk teams to deliver actionable analytics for hedging strategies, derivative overlays, and relative value trade.
- Support the integration of model output and derivative analytic into the firms’ risk and performance systems.
- Contribute to the model governance, documentation and validation process to ensure compliance with internal standards and regulatory framework.
What do you need to succeed?
Must-have
- Strong understanding in derivative pricing, particularly in the interest rate swaps and cross currency swaps.
- Trading experience or working closely with traders in the derivative markets
- Practical grasp of market participants and market conventions on curve construction, accounting basis, and volatility surface
- Over 2 years proficient programming experience in the asset and risk modeling
- Strong analytics and communication skills to explain model results, assumptions and limitations
- Post-secondary education (Financial Modeling, Financial Engineering, Applied Mathematics or a related background)
- Experience in Bloomberg, Excel Add-in and knowledge of derivative pricing
Nice-to-have
- Strong knowledge in the insurance asset liability management
- Familiarity with derivative overlay strategy and derivative risk hedging strategy
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 and competitive compensation
- Leaders who support your development through coaching and managing opportunities
- Work in a dynamic, collaborative, progressive, and high-performing team
- Opportunities to take on progressively greater accountabilities
- Access to a variety of job opportunities across business and geographies
Job Skills
Client Counseling, Competitive Markets, Critical Thinking, Financial Instruments, Financial Regulation, Investment Risk Management, Long Term Planning, Quantitative Methods, Risk Management
Additional Job Details
Address:
RBC CENTRE, 155 WELLINGTON ST W:TORONTO
City:
Toronto
Country:
Canada
Work hours/week:
37.5
Employment Type:
Full time
Platform:
INSURANCE
Job Type:
Regular
Pay Type:
Salaried
Posted Date:
2025-09-24
Application Deadline:
2025-10-24
Note**:** Applications will be accepted until 11:59 PM on the day prior to the application deadline date above
I****nclusion 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. 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.
Join our Talent Community
Stay in-the-know about great career opportunities at RBC. Sign up and get customized info on our latest jobs, career tips and Recruitment events that matter to you.
Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at jobs.rbc.com.
About RBC
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. Our success comes from the 94,000+ employees who leverage their imaginations and insights to bring our vision, values and strategy to life so we can help our clients thrive and communities prosper. As Canada's biggest bank and one of the largest in the world, based on market capitalization, we have a diversified business model with a focus on innovation and providing exceptional experiences to our more than 17 million clients in Canada, the U.S. and 27 other countries. Learn more at rbc.com. We are proud to support a broad range of community initiatives through donations, community investments and employee volunteer activities. See how at www.rbc.com/community-social-impact.
La Banque Royale du Canada est une institution financière mondiale définie par sa raison d'être, guidée par des principes et orientée vers l'excellence en matière de rendement. Notre succès est attribuable aux quelque 94 000+ employés qui mettent à profit leur créativité et leur savoir faire pour concrétiser notre vision, nos valeurs et notre stratégie afin que nous puissions contribuer à la prospérité de nos clients et au dynamisme des collectivités. Selon la capitalisation boursière, nous sommes la plus importante banque du Canada et l'une des plus grandes banques du monde. Nous avons adopté un modèle d'affaires diversifié axé sur l'innovation et l'offre d'expériences exceptionnelles à nos plus de 17 millions de clients au Canada, aux États Unis et dans 27 autres pays. Pour en savoir plus, visitez le site rbc.com/francais
Nous sommes fiers d'appuyer une grande diversité d'initiatives communautaires par des dons, des investissements dans la collectivité et le travail bénévole de nos employés. Pour de plus amples renseignements, visitez le site www.rbc.com/collectivite-impact-social.