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Director of Quantitative Risk Management

2 months ago


Toronto, Ontario, Canada Royal Bank of Canada Full time
Job Summary

Join Royal Bank of Canada's Enterprise Model Risk Management team as an Associate Director. This role offers you the chance to ensure oversight of model risk, ensuring the integrity and efficacy of various quantitative models used in the bank. You'll play a critical role in safeguarding the company against regulatory, financial, and reputational risks linked to model risks. Your expertise will help prevent potential losses and ensure compliance with RBC's stringent risk management standards.

Key Responsibilities
  • Model Validation: Validate models, including regression models, front office pricing models, market and counterparty credit risk models, and credit risk models.
  • Stakeholder Engagement: Work closely with risk, finance, front office, and other related function group personnel to identify, assess, monitor, and manage model risk proactively.
  • Oversight Responsibilities: Ensure that models are appropriately registered and risk rated by EMRM, validated before use, and follow appropriate protocol when adjustments or other changes are made to a model, its inputs or outputs.
Requirements
  • Education: Hold a Master's Degree in a quantitative discipline such as math, physics, econometrics, statistics, or financial engineering.
  • Experience: Possess more than 3 years of working experience as a quantitative analyst and/or in mathematical/statistical modeling.
  • Skills: Have a strong quantitatively oriented knowledge of financial products and industry best practices and regulatory requirements for model risk management. Experience in working with programming languages (Python, C++/C# or VBA) or statistical analysis tools (SAS, MATLAB, or R).
  • Personal Qualities: Strong verbal and written communication skills, and a collaborative mind-set with strong interpersonal skills.
What We Offer
  • Total Rewards Program: A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation, commissions, and stock where applicable.
  • Leadership Development: Leaders who support your development through coaching and managing opportunities.
  • Work Environment: A dynamic, collaborative, progressive, and high-performing team.
  • Training and Development: A world-class training program in financial services.
  • Work-Life Balance: Flexible work/life balance options.