ALM Manager, Royal Bank of Canada US, Los Angeles, CA:

Royal Bank of Canada•Los Angeles, CA

6d•Onsite

About The Position

The ALM Manager leads production of Interest Rate Risk in the Banking Book (IRRBB) metrics, including Net Interest Income (NII), economic value of equity (EVE), and key rate duration (KRD), for major Combined US Operations (CUSO) entities. The role leads development, support, maintenance, and documentation of Quantitative Risk Management (QRM) model methodologies and procedures; monitors IRRBB metrics against applicable limits; and escalates increased interest rate risk exposures to senior management. The manager ensures the accuracy and reasonableness of Asset and Liability Management (ALM) model projections in accordance with model governance standards for data completeness and assumption development. The role leads periodic back testing and sensitivity analysis of modeling assumptions, works with teams across City National Bank and CUSO to develop model assumptions, and leads updates to IRRBB policies and procedures and the annual limit review. It also monitors economic conditions and balance-sheet trends, proposes on- and off-balance-sheet risk mitigation strategies, and builds strong working relationships across Treasury, Finance, and business units and platforms. This is a regular, salaried, full-time position based in Los Angeles, California, with a Monday–Friday schedule of 40 hours per week. Domestic travel of up to 20% is required. The base salary is $234,000 per year; additional total compensation may include a discretionary bonus and benefits.

Requirements

Bachelor’s degree in Electronics Engineering, Communication Engineering, Finance, Business, Economics, Accounting, Management Information Systems, or a related field.
Five years of progressive, post-baccalaureate work experience.
Five years of experience designing and implementing frameworks for measuring, monitoring, and mitigating IRRBB in compliance with regulatory guidelines.
Five years of experience conducting gap analysis, duration modeling, and EVE simulations to assess balance-sheet sensitivity to interest-rate shocks.
Five years of experience managing asset-liability repricing mismatches and optimizing balance-sheet structure to align with risk appetite and strategic goals.
Five years of experience structuring and executing interest-rate swaps, swaptions, and treasury futures/options to hedge IR exposures.
Five years of experience using behavioral modeling for non-maturity deposits and analyzing loan-portfolio prepayment risk.
Five years of experience implementing dynamic hedging programs that adjust positions in response to market volatility and balance-sheet changes.
Three years of experience developing and maintaining data pipelines for ALM reporting, ensuring accuracy, consistency, and compliance with data standards.
Three years of experience using SQL, Python, or R for data extraction, transformation, and validation supporting IR and liquidity risk models.
Three years of experience using Tableau or Power BI dashboards.
Three years of experience using QRM modelling platforms to build and validate balance-sheet models, cash-flow projections, and stress-testing scenarios.
Ability to travel domestically up to 20%.

Responsibilities

Lead production of IRRBB metrics, including NII, EVE, and KRD, for major CUSO entities.
Lead development, support, maintenance, and documentation of QRM model methodologies and procedures.
Monitor IRRBB metrics for compliance with applicable limits and escalate increased IR exposures to senior management.
Ensure ALM model projections are accurate and reasonable, following model governance standards for data completeness and assumption development.
Lead periodic back testing and sensitivity analysis of modeling assumptions.
Coordinate with teams across CNB and CUSO to develop accurate and reasonable IRRBB model assumptions.
Lead updates to IRRBB policies and procedures and lead the annual limit review.
Monitor economic conditions and balance-sheet trends to identify developments detrimental to IRRBB.
Propose on- and off-balance-sheet strategies to mitigate risk exposures.
Establish strong working relationships within Treasury, Finance, and across business units and platforms.