Senior Manager, Balance Sheet Risk Model Governance and Validation Expert
3 weeks ago
Job Description
What is the Opportunity?
The Group Risk Management (GRM) team within Royal Bank of Canada is responsible for performing the second line of defense role for all balance sheet and liquidity risks at the enterprise level. As Senior Manager, BSLR Methodology Governance and Model Validation, you will be responsible for conducting independent oversight of methodologies, parameters, assumptions, and models used for measuring banking book interest rate risk and liquidity risk. You will act as a trusted advisor and effective challenger to stakeholders on all matters pertaining to BSR methodology, parameter, assumptions, and model risk.
What will you do?
- Lead and oversee validation projects by providing guidance and support to junior team members in model validation activities.
- Ensure that RBC's Balance Sheet Risk frameworks and policies meet local regulatory requirements and align with business strategies and industry best practices, and that the validation and review activities are in compliance with all the relevant enterprise and local risk policies standards and procedures.
- Perform timely and effective validation of models in scope for Balance Sheet and Liquidity Risk, including assessment of model methodology, assumptions, and model performance monitoring framework.
- Develop and implement testing models to assess model methodologies and performance. Tests include, but are not limited to, replication, sensitivity, benchmark, outcome, and impact analysis.
- Review model methodologies/assumptions and interpret model outputs to provide insights and recommendations for improvement.
- Prepare and review comprehensive reports that document validation findings and recommendations for management, regulator, and audit reviews.
- Engage the methodology and model owners and users to pro-actively identify, assess, monitor, and manage model-related concerns or issues.
- Ensure that model stakeholders are aware and are compliant with methodology and model risk issues and limitations identified in validation reviews, as well as post-production activities such as performance and limitation monitoring and outstanding issue resolution.
- Manage stakeholder relationships (model and methodology owners/users/model governance/other GRM risk oversight/audit teams) to ensure validation findings and recommendations are appropriately informed by business purpose and context, and to facilitate timely clarification of questions regarding model risk roles and responsibilities.
- Create work plans and track progress to ensure that work is being completed in accordance with committed timelines and regulatory deadlines.
- Keep abreast of industry trends and regulatory developments on model risk management in general and on modal validation in particular.
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Toronto, Ontario, Canada Royal Bank of Canada Full timeJob DescriptionThe Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team is responsible for the second line of defense for all balance sheet and liquidity risks at the enterprise level. As Senior Manager, BSLR Methodology Governance and Model Validation, you will oversee the independent validation of methodologies, parameters, assumptions,...
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