Associate Director, Credit Modeling and Methodology

RBC • Toronto, ON

3d • Onsite

About The Position

The Associate Director, Credit Modeling & Methodology will lead the development of RBC’s Wholesale Credit Risk Models (IRB, IFRS9, CECL, CCAR, EWST). You will focus on model development, back-testing and the quality of data ingested for modeling borrower risk ratings, credit risk parameters, PD, LGD and EAD and expected credit loss (ECL). You will assist the Director, Credit Modeling & Methodology in the execution and maintenance of tools and processes that support model development and performance monitoring. You will assist Senior Management and the Board in understanding critical parameter estimation issues relating to credit risk measurement. The team has significant impact across the bank and continuous interactions with other groups and stakeholders, including Senior Management and regulators.

Requirements

• Master or PhD degrees in a quantitative area such as statistics, mathematics or mathematical finance or engineering and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
• Knowledge and experience with robust data infrastructure of model development and analytics.
• Strong command of the programming language such as Python, SQL, etc.
• Working knowledge of credit risk modeling (IRB, IFRS9, CCAR, CECL and EWST)
• 2+ years of relevant work experience.
• Strong written and verbal communication skills, especially in explanation of complex concepts to a non-technical audience.
• Exceptionally strong conceptual, analytical and problem solving skills.
• Creativity to go beyond current tools to deliver the best solution to the problem.
• Ability to work well in teams

Nice To Haves

• Demonstrated leadership in cross-functional environment
• Expertise in navigating an Enterprise Data Warehouse, experience with Hadoop environments, Python, R or other tools

Responsibilities

• Model development: Research, develop, test, and deployment of comprehensive credit risk models to support capital management, credit provisioning and stress testing. This involves collecting and cleansing data, conducting the required analytical procedures, reporting on the results, and writing model documentation.
• Data management for modeling: Play a critical role in the development of a robust data infrastructure and variable creation for model development and analytics. Regularly review data sources and structures for changes or enhancements.
• New techniques for model building: Evaluate new techniques for building risk models. Keep up to date on best practices in model building techniques and assist in implementation of the new techniques.
• Model implementation/monitoring: Liaise with other stakeholders to facilitate model approval and implementation; participate in formulating implementation requirements, and conducting pre-implementation testing.

Benefits

• A comprehensive Total Rewards Program including bonuses and flexible benefits
• Leaders who support your development through coaching and managing opportunities
• Ability to make a difference and lasting impact
• Work in an agile, collaborative, progressive, and high-performing team

What This Job Offers

• Job Type: Full-time
• Career Level: Manager