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Risk Model Validation Expert

2 weeks ago

Toronto, Ontario, Canada RBC Full time
About the Opportunity

The Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team plays a crucial role in ensuring the second line of defense for all balance sheet and liquidity risks at the enterprise level.

As a Risk Model Validation Expert, you will be responsible for conducting independent oversight of methodologies, parameters, assumptions, and models used in measuring banking book interest rate risk, liquidity risk, and fund transfer pricing.

  • You will act as a trusted advisor and effective challenger to stakeholders on all matters pertaining to BSLR methodology, parameter, assumptions, and model risk.
Key Responsibilities

The ideal candidate will perform timely and effective validation of models in scope for Balance Sheet and Liquidity Risk, including assessment of model methodology, assumptions, limitations, and model performance monitoring framework.

You will also assess the robustness and effectiveness of model methodology and performance by performing validation testing, such as replication, sensitivity analysis, benchmark modeling, impact analysis, etc.

  • Prepare comprehensive validation reports that document the evaluation process, assessment of model methodology, data integrity, performance metrics, and testing results, along with findings and recommendations.
  • Engage the methodology and model owners and users to proactively identify, assess, monitor, and manage model-related concerns or findings.
  • Ensure that model stakeholders are aware and compliant with methodology and model risk findings and limitations identified in validation reviews, as well as post-production activities such as performance and limitation monitoring and outstanding finding resolution.
Requirements

To succeed in this role, you will require advanced university degree in a financial or quantitative discipline, such as financial engineering, mathematics, statistics, economics, finance, engineering, computer science, physics, or any equivalent disciplines.

  • You must have strong computational, analytical, and critical thinking skills, proficient in Excel, SQL, and one or more programming languages such as Python.
  • Bachelor's or master's degree in a related field and relevant work experience in financial industry is preferred but not required.