Senior Manager, Liquidity Risk Model Validation
Senior Manager, Liquidity Risk Model Validation
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Job Description
Job Summary
Job Description
What is the opportunity
The Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team performs the second line of defense role for all balance sheet and liquidity risks at the enterprise level. As Senior Manager Liquidity Risk Model Validation you will be responsible for conducting independent oversight of methodologies parameters assumptions and models used for measuring liquidity risk interest rate risk in the banking book and fund transfer pricing. You will act as a trusted advisor and effective challenger to stakeholders on all matters pertaining to BSLR methodology parameter assumptions and model risk.
What will you do
- Lead and oversee validation projects of regulatory and internal liquidity risk metrics models and securities haircut models.
- Perform timely and effective validation of models in scope for BSLR including assessment of model methodology assumptions limitations and model performance monitoring framework.
- Assess the robustness and effectiveness of model methodology and performance by performing validation testing such as replication sensitivity analysis benchmark modeling impact analysis etc.
- Review data aggregation and implementation to provide insights and recommendations for improvement.
- Prepare comprehensive validation reports that document the evaluation process assessment of model methodology data integrity performance metrics and testing results along with findings and recommendations.
- Engage the methodology and model owners and users to pro-actively identify assess monitor and manage model-related concerns or findings.
- Ensure that model stakeholders are aware and compliant with methodology data configuration and model risk findings or limitations identified in validation reviews as well as post-production activities such as performance and limitation monitoring and outstanding finding resolution.
- Collaborate with model owners model developers model users model governance risk managers and audit teams to ensure validation findings and recommendations are well-informed by business context and purpose.
- Ensure that RBCs Balance Sheet and Liquidity 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.
- 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 both on model risk or liquidity risk management in general and on modal validation in particular.
- Provide guidance and support to junior team members in model validation activities.
Must-have
- Advanced university degree in a financial or quantitative discipline (such as financial engineering mathematics statistics economics finance engineering computer science physics or any equivalent disciplines).
- 3 years of work experience in financial industry preferably in liquidity and funding risk management balance sheet management or financial modeling function such as model development or model validation.
- Strong computational data analytical and critical thinking skills. Proficient in Excel and one or more of programming languages such as Python or SAS.
- Advanced SQL skills required. Experience querying big data environments preferred (e.g. Hadoop Hive Impala Snowflake or Databricks).
- Strong knowledge of liquidity risk and balance sheet risk including understanding general banking products and regulatory requirement such as OSFI LAR or US 2052a.
- Deep understanding of banks businesses and balance sheet structure.
- Ability to rapidly acquire new knowledge and independently conduct research best practices in new and unfamiliar modeling areas.
- Have a collaborative mind-set and superb interpersonal skills verbal and written communication skills.
Nice-to-have
- Relevant professional designations (CFA FRM etc.)
- Familiarity with QRM software or other liquidity data platform is an asset
Whats 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
- Work on a dynamic topic of strategic importance
- 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.
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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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Required Experience:
Senior Manager
Employment Type
Full-Time
