Associate Director, Enterprise Model Risk Management (9 Months Contract)
City : TORONTO, Ontario, Canada
Category : Technology | Analytics | Research
Industry : Financial/Banking
Employer : RBC
Come Work with Us!
At RBC, our culture is deeply supportive and rich in opportunity and reward. You will help our clients thrive and our communities prosper, empowered by a spirit of shared purpose.
Whether you’re helping clients find new opportunities, developing new technology, or providing expert advice to internal partners, you will be doing work that matters in the world, in an environment built on teamwork, service, responsibility, diversity, and integrity.
What is the opportunity?
As Manager, Enterprise Model Risk Management (EMRM), you work in close proximity to model stakeholders in order to vet and validate models used by RBC, mainly focusing on Capital Market interest rate models.
You act as a trusted advisor and effective challenger to model developers and users on all matters pertaining to modeling requirements. The Manager will ensure EMRM has proper understanding and documentation of the models’ business purpose and context, while facilitating RBC compliance with regulatory policies, guidelines and procedures on model risk.
What will you do?
Engage model builders (Front Office, Market Risk, etc.) and related function groups personnel as necessary in order to pro-actively assess, document, and independently validate mathematical models and their usage by the bank.
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.
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.
Prevent any loss that could occur due to the misuse of mathematically complex models, for the purpose of protecting and enhancing RBC’s financial safety and reputation.
Acquire and maintain a thorough understanding of the flow and context of model usage by the business.
Ensure that model users adhere to RBC model risk policy.
What do you need to succeed?
A graduate degree in quantitative areas, such as Mathematics, Statistics, 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.
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
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.
Join our Talent Community
Stay in-the-know about great career opportunities at RBC. Sign up and get customized info on our latest jobs, career tips and Recruitment events that matter to you.
Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at rbc.com/careers.