Job Description

Come Work with Us!

At RBC, our culture is deeply supportive and rich in opportunity and reward. You will help our clients thrive and our communities prosper, empowered by a spirit of shared purpose.

Whether you\xe2\x80\x99re helping clients find new opportunities, developing new technology, or providing expert advice to internal partners, you will be doing work that matters in the world, in an environment built on teamwork, service, responsibility, diversity, and integrity.

Job Title Associate Director, Market Risk Models



What is the Opportunity?

As part of the Group Risk Management team, the Associate Director, Market Risk Models will be responsible for the conceptual design, development, maintenance, documentation and monitoring the performance on an ongoing basis of models used to measure market risk within the bank\'s risk management systems. This includes ensuring that the model\'s underlying methodologies are appropriate and that they are implemented with integrity so that they accurately measure RBC\xe2\x80\x99s risks.

You would also be responsible for developing the risk library related to market risk and counterparty credit risk, with applications to both strategic initiatives and Business As Usual (BAU) risk management.

What will you do?

• Work with model users to understand their business requirements.
• Conduct research, review regulatory requirements and consult with industry stakeholders to evaluate best practices for modeling and the developmen market risk methodologies.
• Become proficient with key risk features of the products and risk factor identification process in the trading portfolio.
• Make recommendations on model methodologies and develop prototype implementations to serve as a benchmark.
• Develop, maintain and integrate risk model libraries within the overall enterprise architecture to provide end to end solutions.
• Provide business requirements with technical implementation details and user acceptance criteria to technology teams for production deployment, and validate implementation using independently developed benchmark models.
• Work with business and technology partners to productionize risk methodology implementations by adopting industrial standard and strategic architecture.
• Document model methodologies, implementation details and testing results, and work with internal validation to facilitate their approval of the models.
• Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.
• Investigate and remediate modeling issues identified through ongoing monitoring or by internal validation.
• Maintain existing market risk models by conducting exercises include but not limited to regular model recalibrations, and assumption re-assessment.
• Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.
• Study and apply the distributed computation with focus on Spark framework.
• Initiate independent research projects to explore better tools and practice to gain efficiency.

What do you need to succeed?

Must Have:

• 2+ years of working experience in regulatory & internal risk management requirements under market risk, CCAR or counterparty credit risk.
• Broad product knowledge across various asset classes and knowledge of regulatory & internal risk management requirements for market risk.
• Strong analytical and problem solving skills
• Excellent programming skills (e.g., Python, MatLab), with focus on finance use cases
• Data management and analysis skills (SQL and Excel required)
• Ability to work collaboratively to achieve team goals
• Agility to adapt to changing circumstances in a dynamic environment
• Strong English communication skills, both written and verbal, especially in the explanation of complex modeling concepts to senior management and regulators.

Nice-to-Have:

• Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
• Experience with Spark or other similar distributed computing concepts

What is in it for you?

We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to build and deliver trusted reporting to help our stakeholders succeed 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
• Ability to make a difference and lasting impact
• 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

Job Summary Responsible for the conceptual design, development, maintenance, documentation and monitoring the performance on an ongoing basis of models used to measure market risk within the bank\'s risk management systems. This includes ensuring that the model\'s underlying methodologies are appropriate and that they are implemented with integrity so that they accurately measure RBC\xe2\x80\x99s risks.

You would also be responsible for developing the risk library related to market risk and counterparty credit risk, with applications to both strategic initiatives and Business As Usual (BAU) risk management.

Address: TORONTO, Ontario, Canada

City: CAN-ON-TORONTO

Country: Canada

Work hours/week: 37.5

Employment Type: Full time

Platform: Group Risk Management

Job Type: Regular

Pay Type: Salaried

Posted Date: 2022-10-29-07:00

Application Deadline: 2023-03-18-07:00

Inclusion and Equal Opportunity Employment

At RBC, we embrace diversity and inclusion for innovation and growth. We are committed to building inclusive teams and an equitable workplace for our employees to bring their true selves to work. We are taking actions to tackle issues of inequity and systemic bias to support our diverse talent, clients and communities.

We also strive to provide an accessible candidate experience for our prospective employees with different abilities. Please let us know if you need any accommodations during the recruitment process.

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 rbc.com/careers.

Royal Bank of Canada