Associate Director, Model Development and Implementation

7 days ago

Toronto, Ontario, Canada RBC - Royal Bank Full time

Job Summary

The Associate Director, Model Development and Implementation is responsible for the conceptual design, development, implementation, documentation and maintenance of models used to measure market risk within the bank's risk management frameworks. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity so that they accurately measure RBC's risks.

Job Description

What is the opportunity?

The Associate Director, Model Development and Implementation is responsible for the conceptual design, development, implementation, documentation and maintenance of models used to measure market risk within the bank's risk management frameworks. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity so that they accurately measure RBC's risks.

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

What will you do?

  • Conduct research, review regulatory requirements and consult with industry stakeholders to evaluate best practices for modeling, and develop market risk methodologies.
  • Become proficient with key risk features of the products and risk factor identification process in the trading portfolio
  • Develop, maintain and integrate risk model libraries with the overall enterprise architecture to provide end to end solutions.
  • Work with risk 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, and benchmark against alternative models
  • Maintain existing market risk models by conducting exercises include but not limited to regular model recalibrations, and assumption re-assessment.
  • Study and apply the distributed computation with focus on big data 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 capital markets product knowledge across various asset classes.
  • Strong analytical and problem solving skills
  • Strong Python development skills 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
  • Masters in Financial, Engineering, Statistics or equivalent. PhD in Finance, Engineering or Applied Sciences
  • Above average oral and written presentation skills: ability to present clearly complicated modelling concepts and techniques to senior management

Nice-to-have

  • Experience with PySpark or other similar distributed computing concepts

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 do challenging work

Job Skills

Competitive Markets, Consulting, Critical Thinking, Data Analytics, Financial Instruments, Financial Regulation, Investment Risk Management, Long Term Planning, PySpark, Python (Programming Language), Quantitative Methods, Quantitative Models, Quantitative Risk Management, Risk Management

Additional Job Details

Address:

ROYAL BANK PLAZA, 200 BAY ST:TORONTO

City:

TORONTO

Country:

Canada

Work hours/week:

37.5

Employment Type:

Full time

Platform:

GROUP RISK MANAGEMENT

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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