Associate Director, Market Risk Analytics

1 month ago

Old Toronto, Canada Royal Bank of Canada Full time

Job Summary

Responsible for the development of Basel 3 Endgame across market risk, counterparty credit risk and Comprehensive Capital Analysis and Review (CCAR). Ongoing maintenance of Fundamental Review of the Trading Book (FRTB) under multi-jurisdictions (e.g., OSFI). This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's market risk.

Job Description

What is the Opportunity?

As part of the Group Risk Management team, the Associate Director, Market Risk Analytics is responsible for the conceptual design, development, and ongoing maintenance of the mathematical models used for the measurement and capitalization of the market risk of RBC's trading portfolio. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's market risk.

What will you do?

Detailed responsibilities of the role include:

  • 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.
  • Make recommendations on model methodologies, and develop technical implementation, either for production usage or to serve as a prototype for benchmark testing.
  • 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.
  • 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.
  • 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.

What do you need to succeed?

Must Have:

  • Broad knowledge of traded products across various asset classes, and knowledge of FRTB regulation.
  • Strong analytical and problem solving skills.
  • Excellent programming skills (e.g., Python, MatLab).
  • 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.

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, competitive compensation.
  • Ability to make a difference and lasting impact.
  • Work in a dynamic, collaborative, progressive, and high-performing team.
  • Opportunities to take on progressively greater accountabilities.

Job Skills

Communication, Decision Making, Economic Analysis, Financial Instruments, Group Problem Solving, Investment Risk Management, Market Analysis, Market Risk, 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: 2024-11-01

Application Deadline: 2024-11-16

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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