City : Toronto

Category : Technology | Analytics | Research

Industry : Financial/Banking

Employer : RBC

What is the opportunity?

The Director will lead a team which is responsible for the conceptual design, development, and ongoing maintenance of the risk models used for the measurement and capitalization of the market risk of RBC's trading portfolio and selected investment portfolios. This includes leading the methodology specifications, prototype implementation, as well as performance monitoring and maintenance of these methodologies.

What will you do?

• Develop, implement, document, maintain and monitor methodologies for market risk across various asset classes (includes fixed income, interest rate derivatives, equity, and foreign exchange). This includes, but not limited to VaR / SVaR / Stress P&L calculations.   
• Work with Local and Enterprise Market Risk teams, Risk IT and Enterprise IT to implement end-to-end solution for projects.
• Present methodology proposal and analytical impacts to senior management committee member for approval or sharing information.

Must-have 

• 5+ years of working experience in quantitative analytics, such as derivative pricing, market risk models.
• Experience managing a team.
• Broad knowledge of traded products across various asset classes.
• Strong analytical and problem solving skills.
• Excellent programming skills (e.g., Python/C++/C#).
• Strong data management and analysis skills (e.g. SQL and Excel).
• 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.

Nice-to-have

• Experience in a similar role
• 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’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.

• A comprehensive Total Rewards Program including bonuses and flexible benefits and competitive compensation.

• Leaders who support your development through coaching and managing opportunities.

• Ability to make a difference and lasting impact. 

• Flexible work/life balance options.

• Work in a dynamic, collaborative, progressive, and high-performing team.

• Opportunities to do challenging work.

Job Skills

Additional Job Details

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.