Associate Director, Capital Measurement
City : TORONTO, Ontario, Canada
Category : Technology | Analytics | Research
Industry : Financial/Banking
Employer : RBC
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Job Title
Job Description
What's the opportunity?
The Associate Director, Capital Measurement is an interdisciplinary position with experience required in credit risk management, regulatory and/or economic capital and IT. This role will be responsible for implementing and ongoing integrity of capital calculations in complex Basel III reforms (IV) capital models; as well as the integrity and completeness of data flows into and Regulatory Capital engines as well as for their alignment with RBC’s financial reporting systems for the designated portfolios.
The Associate Director will be the expert for the Capital Measurement team on advanced and complex risk quantification methodologies and their implementation for the purpose of Economic and Regulatory Capital calculations, providing guidance enterprise wide across credit risks for designated portfolios (e.g., Securitization, Wholesale Loan, Retail, Derivatives, Repo-Style).
What you will do?
- For the designated portfolios, ensure comprehensive and detailed business requirements for the implementation of Basel III reforms Regulatory Capital calculations with respect to data inputs and mapping as well as business rules are aligned with the underlying risk methodologies and regulatory requirements. Communicate with systems development and monitor execution from a business perspective
- Within the specified scope, ensure integrity and completeness of all data inputs into Basel III Regulatory Capital engines as well as consistent application of business rules as driven by risk methodologies.
- Business Requirements documentation, analysis, specifications, and testing
- Develops, programs, and documents processes of average to medium complexity using various programming languages (e.g., VBA, SQL).
- Provide guidance in the testing and development of the Basel III reforms regulatory capital calculation engine within the designated portfolios and risk types as well as support and ongoing maintenance of the engine.
- Validate capital-related entries and provide input into drivers behind variance analysis of risk capital for portfolios within the mandate
Must Have
- 5+ years of experience in related fields
- Strong knowledge of advanced quantitative techniques of risk measurement and parameter estimation, supported by business experience in their application
- Superior analytical and advanced computer skills
- Well proven strong ability to articulate business requirements for systems’ execution
- Broad knowledge of RBC business and understanding of product ranges and structures in RBC for designated portfolios.
- Solid understanding of accounting and corporate finance principles
- Strong written and oral communication.
- Well proven ability to consistently deliver complex results against very tight deadlines
Nice to Have
- University degree in a quantitative area, combined with MBA or CFA or equivalent business designation
Job Summary
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