Job Description

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Job Title Associate Director, Wholesale Capital Measurement & Analytics, FRO

• Responsible for calculating regulatory capital requirements for RBC's wholesale portfolios (under Basel III/IRB and Basel II/STD Floor) in compliance with OSFI CAR guidelines, internal policies and other mandated protocols. Including maintenance of robust processes, policies and procedures to ensure accuracy of capital calculations
• Develop and enhance capital measurement validation approaches along with supporting the execution of challenges related to capital measurement and management processes, including forecasting methodologies, assumptions/inputs, governance, results, and business decisions
• Play an important role in production and submission of critical internal and external disclosers and regulatory filings such as RBC's Basel Capital Adequacy Requirements (BCAR) reporting to OSFI, Pillar 3, NCR, etc. while ensuring ongoing integrity of capital calculation and reporting processes
• Develop extensive knowledge of the capital data domain, lineages and controls to enable development of better capital review and analytical tools
• Define, develop, and continuously enhance attribution and other analytics that can effectively demonstrate exposure, EAD and RWA calculations. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
• Provide analytical and domain advisory on advanced and complex regulatory capital calculations and risk methodologies. Including supporting business teams across the organization to better understand and optimize drivers of credit risk capital specific to their portfolios
• Collaborate with stakeholders including line of business, risk, finance, IT, and data teams to ensure accuracy of capital measurement calculations. Also provide thought leadership and requirements for analytics that further enhances transparency to the overall RWA calculations and reporting process.
• Work with various stakeholders such as GRM credit adjudication, Parameter Estimation, and Stress testing teams to successfully implement wholesale credit risk models and parameters as per OSFI and Basel prescribed regulatory guidelines.
• Identify and drive execution of RWA optimization opportunities by collaborating with business partners including line of business, risk, legal and finance teams to ensure capital charges are calculated and optimized per approved policies, guidelines and applicable regulatory framework
• Develop and provide value-added analysis including scenario and sensitivity analysis to drive effective and optimized capital measurement specific to various aspects of RBC's wholesale portfolio. Also, provide portfolio specific impacts/views to drive senior management decision making.
• Participate in Quantitative Impact Studies (QIS) of proposed regulatory framework changes, effectively communicating the impacts and helping business stakeholders formulate strategies to transition to new requirements, and working with IT teams to implement changes to complex capital system architecture.
• Participate in capital measurement and reporting reviews conducted by control functions such as audit, SOX office, risk management etc. Provide the necessary subject matter expertise and evidences to demonstrate robustness and accuracy of RWA calculation and reporting processes
• Manage and address RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
• Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls processes
• Provide detailed/technical analysis of the impact of new or changing regulations and develop options for potential advocacy work with external stakeholders such CBA, OSFI, BCBS, etc
• Play a key role in the rollout and stabilization of FRO's new capital measurement tool (Axiom) by providing hands on subject matter advisory across complex topics related to measurement, reporting, and analytics
• Act as an important resource in interpretation of new Basel IV CAR, Pillar 3, and NCR guidelines and effectively translating them into specific business and technical requirements for various IT and Vendor resources to work on
• Provide subject matter expertise in helping IT and vendor resources to build sound business requirements, data analysis & mapping, business rules specification, and use cases development to ensure delivery of robust solutions to fulfill changing Basel regulatory requirements, audit concerns, business goal of capital optimization and credit risk capital analysis
• Contribute towards defining and scoping use cases spanning various aspects related to capital measurement for wholesale products under BIV rules. Done to ensure completeness, accuracy, and compliance with pertinent policies, procedures, methodologies, and regulatory guidelines

Must-Have

• Advanced academic qualification in fields of financial or risk management.
• Deep understanding of banking products and application of pertinent regulatory capital rules (OSFI CAR & Basel guidelines) to exposure emanating from these products.
• Deep understanding capital measurement and common capital attribution approaches.
• Appreciation of concepts relating to consolidated and solo capital measurement
• Authoritative leader capable of guiding solutions working in collaboration with cross-functional teams
• Ability to think strategically and connect analysis to solutions and objectives
• Ability to write and present succinct solutions

Nice to Have

• A professional accounting designation or a MBA with concentration in Finance
• Good understanding of risk management & measurement approaches and common practices in a financial services context
• Extensive experience in managing multiple views of capital in a large, multi-dimensional financial services institution
• Up-to-date and understanding of concepts relating to Basel IV and leverage measurement along with experience in assessing the impacts of these on trading portfolios
• Familiarity with OSFI advanced model approval process.

Job Summary This is a subject matter role within the Capital Measurement team part Financial Resource Optimization (FRO) team.

In this role, the incumbent will be responsible for driving capital measurement related activities for RBC's wholesale portfolios and supporting preparation of various RBC disclosures such RBC's Basel Capital Adequacy Requirements (BCAR) reporting to OSFI, Pillar 3, NCR, etc. In addition to that, the incumbent will play a key role in driving and eventual implementation of some of the very complex and critical deliverables as part of FRO's Axiom project and BIV implementation.

To effectively serve the mandate, the role will liaise and collaborate with key stakeholders across the Bank, including business, risk and finance teams, regulators, and Technology groups.

Address: TORONTO, Ontario, Canada

City: CAN-ON-TORONTO

Country: Canada

Work hours/week: 37.5

Employment Type: Full time

Platform: Office of the CFO

Job Type: Regular

Pay Type: Salaried

Posted Date: 2022-08-09-07:00

Application Deadline: 2022-12-06-08:00

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.

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