Associate Director - Counterparty Credit Risk, Royal Bank of Canada (US), New York, NY:

RBC•New York, NY

9d•$191,000 - $191,000•Hybrid

About The Position

Associate Director - Counterparty Credit Risk, Royal Bank of Canada (US), New York, NY: Prepare, improve, and oversee risk reporting in a timely and consistent manner to identify and evaluate the major risks of business and entities covered and ensure they are in line with RBC risk tolerance and objectives. Continuously review and analyze key trading strategies and products to ensure they are in line with RBC risk tolerance and objectives. Implement changes and improvements to the risk processes as required by new strategies/products and regulations. Accountable for ensuring that all credit risk exposures for Global Central Funding Group (CFG) security finance business (including of Global CFG Structured Assets portfolios along with US entity) are correctly calculated, tracked against limits, reported, and escalated on a timely manner. Coordinate the approval and implementation any model change required for securitized product across all the organization (Trader, Risk IT, Front office Risk IT, Global Risk Analytic Group and Global Risk management team). Design, prepare risk presentation on high-risk portfolio for senior management on an ad hoc basis. Monitor changes in portfolio and market to extract value-added insight for senior management. Analyze key trend in risk and exposure in Structured asset collateral portfolio on a weekly basis to senior management. Review significant and bespoke transactions to help facilitate business and ensure proper risk controls by analyzing risk in such transaction. Telecommuting permitted up to 1 day per week. #LI-DNI Full time employment, Monday – Friday, 40 hours per week, $191,000 per year.

Requirements

Must have a Master’s degree in Financial Engineering, Finance, Mathematics, Business Administration, or a related field and 3 years of related work experience.
Must have 3 years of experience in: Credit, market or counterparty credit risk.
Stress testing and scenario analysis.
Python and SQL.
Must have 2 years of experience in: Value-at-Risk measurement and back-testing.
Pricing, liquidity, market structure of Fixed Income products such as Treasury bonds, corporate bonds, municipal bonds, AT1 Bonds.
Pricing and liquidity expertise in Structured Asset Collateral such as ABS, CLO, RMBS, CMBS, whole loan.
Financial pricing services such as Intex and Polypath.
Risk factors, macro economics factors affecting price of fixed income assets.
Pricing of fixed income securities to assess their VaR/Stress.
Bloomberg.
International travel required up to 5%.
Domestic travel required up to 5%.

Responsibilities

Prepare, improve, and oversee risk reporting in a timely and consistent manner to identify and evaluate the major risks of business and entities covered and ensure they are in line with RBC risk tolerance and objectives.
Continuously review and analyze key trading strategies and products to ensure they are in line with RBC risk tolerance and objectives.
Implement changes and improvements to the risk processes as required by new strategies/products and regulations.
Accountable for ensuring that all credit risk exposures for Global Central Funding Group (CFG) security finance business (including of Global CFG Structured Assets portfolios along with US entity) are correctly calculated, tracked against limits, reported, and escalated on a timely manner.
Coordinate the approval and implementation any model change required for securitized product across all the organization (Trader, Risk IT, Front office Risk IT, Global Risk Analytic Group and Global Risk management team).
Design, prepare risk presentation on high-risk portfolio for senior management on an ad hoc basis.
Monitor changes in portfolio and market to extract value-added insight for senior management.
Analyze key trend in risk and exposure in Structured asset collateral portfolio on a weekly basis to senior management.
Review significant and bespoke transactions to help facilitate business and ensure proper risk controls by analyzing risk in such transaction.