Capital Markets · Quant Engineering · Toronto

Harry He.

Associate, Desk Quant — RBC Capital Markets

I specialize in financial resource optimization, liquidity management, and balance sheet strategy within Capital Markets — designing funding frameworks and quantitative models that drive P&L performance across trading desks.

Beneath the finance, I build the technology: production Python systems, ETL infrastructure, and real-time analytics that turn complex market data into actionable decisions at institutional scale.

View Experience ↓ LinkedIn ↗
Financial Resource Optimization Liquidity & Funding Strategy Quant Engineering Data Architecture Capital Markets
Harry He
Currently at RBC Capital Markets
01

About

Markets demand precision. I build the frameworks that deliver it.

L52HE@outlook.com linkedin.com/in/harry-hlz github.com/HLZHarry

I'm a quantitative engineer and capital markets specialist based in Toronto, currently serving as Associate Desk Quant at RBC Capital Markets within the Financial Resource Optimization & Liquidity Management group.

My work spans balance sheet optimization, funding strategy, and liquidity management — developing the quantitative models and optimization frameworks that trading desks rely on for Net Cash Flow management, LCR/NSFR monitoring, and structured product monitoring. I sit at the front desk, translating complex regulatory and market constraints into actionable, real-time strategies.

The technology side is inseparable from the finance: I architect the production Python systems and data infrastructure that make those strategies possible — from unified OOP frameworks and CI/CD pipelines to ETL layers integrating enterprise data sources at scale.

Before RBC, I worked at Deloitte on financial risk ML model validation projects for clients across Canada, and built the data warehouse foundations for RBC's KYC Capital Markets reporting platform.

University of Waterloo
Bachelor of Mathematics — Double Majors: Mathematical Optimization & Computational Mathematics
GPA 3.7 / 4.0 Graduated Jan 2021 Waterloo, ON
02

Experience

RBC Capital Markets
Apr 2023 – Present
Toronto, ON
Associate, Desk Quant
Financial Resource Optimization & Liquidity Management

Front desk quant engineer building end-to-end Python frameworks serving the Resource Management Group, Central Funding, and SRT desks — delivering optimization strategies, pricing models, and real-time analytics that directly impact trading desk P&L and funding decisions.

~$3BnFunding Secured
$37MMP&L Improvement
$20MMCounterparty Gap Closed
8+Data Sources Integrated
  • Balance Sheet Optimization: Built unified OOP framework for B/S optimization; developed CI/CD pipelines, validation tools, and web-based agent workflows consolidating legacy codebases across desks.
  • Funding & Liquidity: Designed predictive NCF models for Bond Trading desks securing ~$3Bn in funding; built profitability calculator for LCR, NSFR and NCF enabling instant analysis on covered bond swap projects.
  • Pricing & Risk: Designed Structured Notes shelf valuation and allocation workflow with SRT/GE Note desks; enhanced FX delta model for equity index/ETF swaps.
  • Real-Time Analytics: Built dashboards providing traders with live liquidity exposure and P&L visibility; designed standardized reporting infrastructure for structured notes monitoring across desks.
  • Data Architecture: Solely designed production data infrastructure from scratch — ETL pipelines integrating 8 enterprise-level sources, standardized data modeling layer enabling cross-desk analytics.
NCF Optimization LCR · NSFR B/S Optimization Python · OOP ETL · CI/CD FX Delta Structured Notes
Deloitte
May 2022 – Apr 2023
Toronto, ON
Consultant
Financial Modelling and Engineering

Advanced financial risk ML model projects for clients across Canada, combining technical rigor with strong client relationship management across demanding timelines.

  • Risk Modeling: Delivered end-to-end financial risk modeling projects including business analysis, model development & validation for institutional clients.
  • Client Advisory: Facilitated alignment between local business teams and risk teams, managing communication and delivery on complex, deadline-driven engagements.
ML Risk Models Model Validation Financial Advisory
RBC Capital Markets
May 2021 – May 2022
Toronto, ON
Analyst
KYC Data Management

Data infrastructure initiatives for Capital Markets client data platform — architecting the Snowflake-based foundations for enterprise-wide client analytics.

  • Data Warehouse: Architected client data storage using Snowflake; designed dimensional models and ETL pipelines into a unified analytics layer.
  • Governance: Implemented data quality monitoring, lineage tracking, and documentation standards ensuring security and compliance across workflows.
Snowflake ETL Pipelines Data Governance Compliance
Leader Circle
May 2022 – Present
Toronto, ON · Pro Bono
Director
Premium Membership Program
Community Involvement · Pro Bono Volunteer
Community Involvement · Pro Bono Volunteer
  • Lead outreach to connect with high-profile industry leaders and grow the professional network.
  • Manage volunteer team to coordinate event logistics and professional speaker programs.
Leadership Community Pro Bono
03

Skills

Capital Markets & Finance
Financial Resource Optimization Liquidity Management Balance Sheet Optimization LCR / NSFR / NCF Risk Modeling FX Delta Modeling Structured Notes A/B Testing
Engineering & Architecture
Python OOP & Design Patterns Software Architecture CI/CD ETL Pipelines Machine Learning PyTorch TensorFlow R SAS MATLAB Git
Data & Analytics
SQL Snowflake Data Modeling Data Warehousing ML Pipeline Dev Power BI Tableau Excel VBA
Tools & Platforms
Bloomberg Apex Sophis Murex Infinity Jira Fenergo SharePoint
04

Projects

01
Quant Framework

End-to-end Python framework for financial optimization and analytics, built with OOP design patterns and CI/CD pipelines.

Python
02
Risk Model Pipeline

ML-based financial risk modeling toolkit with validation, reporting, and model lifecycle management.

Python · SAS
03
Data Infrastructure

Snowflake-based data warehouse design with dimensional modeling, ETL pipelines, and governance standards.

SQL · Snowflake
View all repositories on GitHub ↗
05

Beyond the Desk

Whether it's a 110KM trek through the Swedish Arctic, winning the 50m Butterfly at the Shenzhen Swimming Championship, or giving back through community events — the drive is the same: show up, go the distance, make it count. Outside of markets, you'll find me on trails, behind a film camera, or mentoring the next generation.

🏔️ Hiking & Trekking 📷 Film Photography 🏊 Swimming 🥇 50m Butterfly Champion · Shenzhen 🌍 Travel 🎞️ Analog Cameras 🤝 Community Volunteering 🎤 Speaker Events
Fjällräven Classic — ready to trek
Fjällräven Classic · Sweden · Start Line
Trekking through Swedish valleys
Kungsleden Trail · Swedish Lapland
🎞️
Film Photography

Slowing down, choosing one frame, committing to it — no delete button. Film photography demands the same discipline as good financial modeling: precision over volume, intention over reaction.

Fjällräven Classic Finish Gate
Fjällräven Classic · Finish Gate
Mountain pass in the Swedish Arctic
Arctic Mountain Pass · 110KM Trek
🤝
Community & Giving Back

As Director at Leader Circle (pro bono), I connect ambitious professionals with industry leaders through speaker events and mentorship. Building community is how we grow together — in finance, in tech, in life.

Leader Circle speaker event
Leader Circle · Speaker Event · Toronto
Leader Circle panel discussion
Leader Circle · Industry Panel
🎤
Mentoring & Interviews

Volunteering as an interviewer and mentor — helping students and early-career professionals navigate their paths into finance and technology. The best investment is in people.

06

Get in Touch

Open to conversations about capital markets, quantitative finance, engineering challenges, or new opportunities. Always happy to connect.

EmailL52HE@outlook.com LinkedInlinkedin.com/in/harry-hlz GitHubgithub.com/HLZHarry Phone+1 (519) 781-4635