Associate Director, Enterprise Model Risk Management

Job Summary

As Associate Director, Enterprise Model Risk Management, you will validate (replicate, benchmark, backtest, and apply other techniques as applicable) interest rate and hybrid derivative pricing and risk models used for financial and regulatory (RMR, FRTB) reporting for RBC trading activities.

The ideal candidate will help to identify and escalate material issues related to model risk, and provide consultancy to model stakeholders with respect to potential technical solutions to these issues and designing model performance monitoring frameworks.

Job Description

What is the opportunity?

As Associate Director, Enterprise Model Risk Management, you will validate (replicate, benchmark, backtest, and apply other techniques as applicable) interest rate and hybrid derivative pricing and risk models used for financial and regulatory (RMR, FRTB) reporting for RBC trading activities.

The ideal candidate will help to identify and escalate material issues related to model risk, and provide consultancy to model stakeholders with respect to potential technical solutions to these issues and designing model performance monitoring frameworks.

What will you do?

• Take ownership of assigned models to provide effective testing and oversight of model risk while ensuring that validation activities are completed in an efficient manner.
• Timely deliver required work products: validation reports, technical documents and testing code and tools.
• Streamline and automate validation tests as much as feasible.
• Identify and articulate model limitations and inconsistencies across models and escalate inconsistencies to management.
• Provide consultancy to Market Risk, Finance and Global Valuations regarding technical model issues and independent price verification issues.

What do you need to succeed?

Must-have

• Graduate degree in quantitative areas, such as Mathematics, Physics, Computer Science, Engineering, Finance, Financial Engineering and Economics.
• Broad exposure to and excellent knowledge of derivative pricing models and risk management methodology
• Experienced in computational techniques, including Monte Carlo simulation, numerical and analytic solution of partial differential equations.
• Strong programming skills: C/C++, Python proficiency.
• Strong communication and interpersonal skills.
• Previous work experience in mathematical modeling in a similar or related role, such as a model developer or validator, a front office quant, a risk quant, or a risk manager, most preferably in a large financial institution.

Nice-to-have 

• FRM or PRM certification, CFA Charter Holder.

What’s in it for you?

We thrive on the challenge to be our best, progressive thinking 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.

• Leaders who support your development through coaching and managing opportunities
• Work in a dynamic, collaborative, progressive, and high-performing team
• Opportunities to do challenging work

Job Skills

C++ Programming Language, Market Risk, Microsoft Excel, Microsoft Excel VBA Programming, Model Building

Additional Job Details

Address:

ROYAL BANK PLAZA, 200 BAY ST:TORONTO

City:

TORONTO

Country:

Canada

Work hours/week:

37.5

Employment Type:

Full time

Platform:

GROUP RISK MANAGEMENT

Job Type:

Regular

Pay Type:

Salaried

Posted Date:

2024-10-02

Application Deadline:

2024-10-19

Inclusion and Equal Opportunity Employment

At RBC, we embrace diversity and inclusion for innovation and growth. We are committed to building inclusive teams and an equitable workplace for our employees to bring their true selves to work. We are taking actions to tackle issues of inequity and systemic bias to support our diverse talent, clients and communities.

We also strive to provide an accessible candidate experience for our prospective employees with different abilities. Please let us know if you need any accommodations during the recruitment process.

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