Manager Enterprise Model Risk management

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Manager Enterprise Model Risk management

manager · Risk & Compliance

Job Description

What is the opportunity? 

As part of the Group Risk Management (GRM) team, the Senior Analyst, Enterprise Model Risk Management will validate (replicate, benchmark, back- test, and apply other techniques as applicable) credit-related capital markets models (pricing used for financial and regulatory reporting for RBC trading activities. The ideal candidate will 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.

• Deliver required work products in a timely manner: 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.

• Consult with 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 a quantitative area such as Mathematics, Physics, Computer Science, Engineering, Finance, Financial Engineering, or Economics.

• Broad exposure to and excellent knowledge of derivative pricing models and risk management methodology.

• Experienced in computational techniques, including Monte Carlo simulation and numerical and analytic techniques for solving partial differential equations.

• Strong programming skills: C/C++ and Python preferred.

• Strong communication and interpersonal skills.

Nice-to-have 

• 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.

• 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.

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

• 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

• Flexible work/life balance options

Job Skills

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Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above

Our Employment Opportunities

At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One 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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RBC is presently inviting candidates to apply for this existing vacancy. Applying to this posting allows you to express your interest in this current career opportunity at RBC. Qualified applicants may be contacted to review their resume in more detail.