Associate Director, Enterprise Model Risk Management

Job Description

What is your opportunity?

You will work in close proximity with model stakeholders in order to vet and validate mathematical/statistical models used by RBC, mainly (but not exclusively) focusing on models related to Credit Risk (PD/LGD/EAD/etc.) for IFRS 9 and EWST. You will act as a trusted advisor and effective challenger to model developers and users on all matters pertaining to credit risk modeling requirements. You will also ensure EMRM has proper understanding and documentation of the models' business purpose and context and will facilitate RBC compliance with regulatory policies, guidelines, and procedures on model risk.

What will you do?

• Engage model builders and related function groups personnel as necessary in order to proactively assess, document, and independently validate mathematical/statistical models and their usage by the bank.

• Perform effective challenge of model inputs, methodology, and implementation. Independently build replication/benchmarking models.

• Acquire and maintain a thorough understanding of the flow and context of model usage by the business.

• Ensure that model users adhere to RBC model risk policy.

What do you need to succeed?

Must-have  

• Graduate degree in a quantitative discipline such as physics, math, engineering, computer science, statistics, finance or financial engineering. Strong academic and research background may also count towards work experience.

• At least 3 years of work experience in mathematical/statistical modeling, preferably at a large financial institution, in a similar or related role such as a model developer/validator, a front office quant, a risk quant, or a risk manager.

• Proficient in model development in SAS and Python

• Broad exposure to and excellent knowledge of a wide range of financial models and model validation/testing techniques.

• Exceptional analytical, statistical, computational and critical thinking skills

• Good familiarity with financial regulatory requirements and guidelines, such as IFRS 9 and EWST.

Nice-to-have

• Strong verbal and written communication and interpersonal skills.

• Ability to learn quickly and to independently conduct research on best practices in new and unfamiliar modeling areas.

What's in it for you?

We thrive on the challenge to be our best, thinking progressively to keep growing, and working together to deliver trusted advice to help our clients thrive 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

• Leaders who support your development through coaching and managing opportunities

• Ability to make a difference and lasting impact

• Work in an agile, collaborative, progressive, and high-performing team

• The opportunity to interface with executives from many different parts of the organization

Job Skills

Additional Job Details

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Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above

Inclusion and Equal Opportunity Employment

At RBC, we believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.

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