Senior Manager, ALM Analytics and Research

2 weeks ago

Toronto, Ontario, Canada Royal Bank of Canada Full time

Job Summary

Job Description

What is the opportunity?

The Senior Manager, ALM Analytics and Research will responsible for research, model development on behavioral assumption of banking products, documentation and submission work on model validation review/update/changes and back testing along with champion/challenger model variance testing and attribution.

The successful candidate will work closely with various teams across Corporate Treasury, Subsidiary Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.

What you will do?

ALM modelling specialist responsibilities:

  • Estimation, calibration and implementation of behavioral assumption models for banking book business/retail product embedded optionality including prepayment assumption for residential and commercial mortgages and loans, and non-maturity deposit duration profile.
  • Application of applied econometric techniques to build predictive models for product prepayment and redemption behavior in response to changes in interest rates and macro variables.
  • Monitoring and back-testing key model assumptions (e.g., mortgage prepayment speeds, term deposit redemptions, product rate betas, decay profiles). Document implication to IR risk profile of behavioral assumption model parameter changes.
  • Econometric modeling and programming in support of model estimation, implementation, monitoring, and back testing
  • Actively engage in mutual dialogue and interaction with the business as well as with supporting functions including Risk Management and Finance, especially respondence on queries and issues from Risk Management related to behaviour modelling.​

What you need to succeed?

Must Have:

  • An advanced degree in Econometrics, Economics, Quantitative Finance, Computer Science, Math or another quantitative discipline and 3+ years of relevant experience in a Treasury / Asset and Liability Management function
  • Advanced knowledge in financial engineering, financial markets, and the interest rate business
  • Experienced with ALM banking book interest rate risk, derivative markets, derivative hedge accounting, and derivative valuation
  • Ability to apply techniques from numerical analysis, statistics, applied econometrics and financial mathematics to build predictive models for behavioral assumptions
  • Proficiency using Python, VBA, SQL as well as the MS Office suite
  • Ability to break down complex technical topics with a clear focus on business impact
  • Excellent oral and written communication skills

Job Skills

Analytical Thinking, Commercial Acumen, Critical Thinking, Decision Making, Financial Engineering, Financial Regulation, Interest Rate Risk Management, Strategic Thinking, Treasury 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:

Office of the CFO

Job Type:

Regular

Pay Type:

Salaried

Posted Date:

Application Deadline:

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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