Associate Director, Enterprise Model Risk Management – Royal Bank of Canada

Title of the Job: Associate Director, Enterprise Model Risk Management

Location: Toronto, ON

Job Description: Job Summary As Associate Director, Enterprise Model Risk Management, you will 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.The ideal candidate will help to 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.Job DescriptionWhat is the opportunity?As Associate Director, Enterprise Model Risk Management, you will 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.The ideal candidate will help to 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.What will you do?Take ownership of assigned models to provide effective testing and oversight of model risk while ensuring that validation activities are completed in an efficient manner. * Timely deliver required work products: validation reports, technical documents and testing code and tools.

• Streamline and automate validation tests as much as feasible.
• Identify and articulate model limitations and inconsistencies across models and escalate inconsistencies to management.
• Provide consultancy to Market Risk, Finance and Global Valuations regarding technical model issues and independent price verification issues.

What do you need to succeed?Must-have

• Graduate degree in quantitative areas, such as Mathematics, Physics, Computer Science, Engineering, Finance, Financial Engineering and Economics.

Broad exposure to and excellent knowledge of derivative pricing models and risk management methodologyExperienced 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.Nice-to-haveFRM 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 opportunitiesWork in a dynamic, collaborative, progressive, and high-performing teamOpportunities to do challenging workJob Skills C++ Programming Language, Market Risk, Microsoft Excel, Microsoft Excel VBA Programming, Model BuildingAdditional Job DetailsAddress: ROYAL BANK PLAZA, 200 BAY ST:TORONTOCity: TORONTOCountry: CanadaWork hours/week: 37.5Employment Type: Full timePlatform: GROUP RISK MANAGEMENTJob Type: RegularPay Type: SalariedPosted Date: 2024-10-02Application Deadline: 2024-10-19Inclusion and Equal Opportunity EmploymentAt 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 CommunityStay 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 .

Company Name: Royal Bank of Canada

Salary:

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