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About the Role
The Associate Director, Global Risk Analytics is responsible for the conceptual design, development, and ongoing maintenance of mathematical models for measuring and capitalizing market risk of RBC's trading portfolio. This role ensures model methodologies are appropriate and implemented with integrity to facilitate effective market risk management and capital adequacy assessment for CCAR scenarios under the FRTB framework.
Responsibilities
- Work with model users to understand their business requirements.
- 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 to serve 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.
- Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.
Requirements
- Broad knowledge of traded products across various asset classes, and knowledge of regulatory & internal risk management requirements for market risk and CCAR
- 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 the explanation of complex modeling concepts to senior management and regulators
Skills
- Communication
- Decision Making
- Economic Analysis
- Financial Engineering
- Financial Instruments
- Group Problem Solving
- Investment Risk Management
- Market Analysis
- Market Risk
- Risk Analytics
- Risk Management
- Statistics
- Structured Query Language (SQL)
- Work Collaboratively
Location
- ROYAL BANK PLAZA, 200 BAY ST:TORONTO
- Toronto
- Canada
Work Type
- Full time
- Salaried
Experience Level
- Associate Director
Education Level
- Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
- Experience in FRTB is considered a strong asset
Benefits
- A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation
About the Company
- At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One 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.