Counterparty Credit Risk Analytics Expert
2 weeks ago
Company Overview
">Royal Bank of Canada is a leading financial institution that values innovation and growth. We strive to build inclusive teams and create an equitable workplace where employees can bring their true selves to work.
We are committed to tackling issues of inequity and systemic bias to support our diverse talent, clients, and communities.
About the Role
">We are seeking a highly skilled Counterparty Credit Risk Analytics Expert to join our Group Risk Management team. As a key member of our team, you will be responsible for conceptualizing, developing, and maintaining mathematical models used for measuring and capitalizing counterparty credit risk of our derivative portfolio.
You will ensure that the model's underlying methodologies are appropriate and implemented with integrity to facilitate effective management of the bank's CCR.
Responsibilities
">- Work closely with model users to understand their business requirements and develop technical implementation details.
- 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 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.
- Recalibrate models on a regular basis and re-assess and test models, including assumptions and limitations, and benchmarking against alternative models.
Requirements
">- Broad knowledge of traded products across various asset classes and knowledge of regulatory & internal risk management requirements for counterparty credit risk.
- 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 explaining complex modeling concepts to senior management and regulators.
Benefits
">We offer a comprehensive Total Rewards Program, including bonuses and flexible benefits, competitive compensation, and opportunities to make a lasting impact.
You will have the opportunity to work in a dynamic, collaborative, progressive, and high-performing team and take on progressively greater accountabilities.
Salary Information
">The estimated annual salary for this role is between $120,000 and $180,000 based on the location and industry standards.
Others
">We are committed to creating a workplace where employees feel valued, respected, and empowered to succeed.
We believe that diversity, equity, and inclusion are essential to driving innovation and growth.
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