RBC Careers – Risk Methodology Associate Director

Website RBC

Job Description:

The Associate Director is responsible for methodologies related to Counterparty Credit Risk, Market Risk and Machine Learning application. This includes model development, implementation, documentation, performance monitoring and maintenance of these methodologies.

Job Responsibilities:

  • Take the responsibility as model development owner (MDO) to remediate model issues from internal validation, internal audit as well as external regulators.
  • Provide risk modeling transparency. This is primarily facilitated by the completion of significantly enhanced documentation for the risk models that will satisfy the emerging regulatory expectations (for example, SR-11-7 guidelines published by the Fed).
  • Take the responsibility of risk methodology development for Securities financing transactions (SFTs) covering various products, such equities, vanilla bond, callable bonds, securitized products, etc. Risk methodologies include, but are not limited to VaR, Stress VaR, stress testing and regulatory RWA.
  • Develop VaR and stress VaR methodology for securities products, such as ABS, CLO, CMBS, etc, or other bond types. Be familiar with pricing models for vanilla bond and securitized products.
  • Re-submit model white papers on regular basis with portfolio and model features update
  • Maintenance the existing models. This includes ensuring adequate review of the assumptions on an ongoing basis, timely calibration of the models and monitoring of model limitations. This also may include benchmarking against other alternatives, taking appropriate actions as informed from the model performance tracking and/or the independent review performed by internal validation or audit teams.

Job Requirements:

  • Eager to learn
  • Team players to collaborate and innovate
  • Broad product knowledge across fixed income, equity and derivative instruments, especially securitized products.
  • Strong communication skills in oral and written formats.

Qualification & Experience:

  • Experience in a similar role
  • Working experience in counterparty credit risk and market risk.
  • Masters in Financial, Engineering, Statistics/Mathematics/Physics or equivalent. PhD in Finance, Engineering or Applied Sciences
  • Strong programming experience in Python and SQL.

Job Details:

Company: RBC

Vacancy Type: Full Time

Job Location: Jersey City, US

Application Deadline: N/A

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To apply for this job email your details to bfdirb6788@gmail.com