Associate Director, Counterparty Credit Risk Models, Global Risk Analytics
Associate Director, Counterparty Credit Risk Models, Global Risk Analytics
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Job Description
Job Summary
Job Description
What is the Opportunity
As part of the Group Risk Management team the Associate Director Counterparty Credit Risk Analytics is responsible for the conceptual design development and ongoing maintenance of the mathematical models used for the measurement and capitalization of the counterparty credit risk of RBCs derivative portfolio. This includes ensuring that the models underlying methodologies are appropriate and that they are implemented with integrity to facilitate the effective management of the banks CCR.
What will you do
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 regular re-reviews ongoing monitoring or by internal validation.
Recalibrate models on a regular basis.
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.
What do you need to succeed
Must Have:
Broad product knowledge across various asset classes and knowledge of regulatory & internal risk management requirements for counterparty credit risk
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
Experience managing a team
Strong English communication skills both written and verbal especially in the explanation of complex modeling concepts to senior management and regulators
Nice-to-Have:
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.
What is in it for you
We thrive on the challenge to be our best progressive thinking to keep growing and working together to build and deliver trusted reporting to help our stakeholders succeed 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 competitive compensation
Ability to make a difference and lasting impact
Work in a dynamic collaborative progressive and high-performing team
Opportunities to take on progressively greater accountabilities
Job Skills
Analytical Thinking Counterparty Credit Risk (CCR) Counterparty Risk Critical Thinking Financial Engineering Financial Instruments Financial Regulation Mathematical Finance Mathematics Modeling Model Development Python (Programming Language) Quantitative Methods Risk Management Risk ModelsAdditional 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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Required Experience:
Exec
Employment Type
Full-Time
