Associate Director, Credit Modeling & Methodology

Royal Bank of Canada•Toronto, ON

4d•Onsite

About The Position

The Associate Director, Credit Modeling & Methodology will support the model development team responsible for developing credit risk models and analytics tools used in the measurement of Expected Credit Loss, Provision for Credit Losses, Allowance for Loan and Lease Losses as well as for Stress Testing purposes. This role will assist the Director, Credit Modeling & Methodology in various model development initiatives spanning from data engineering (in order to construct the modeling data), development of modeling methodologies, model testing and implementation. We are looking for a bright, committed, high-performing individual to become a key contributor on the model development team. The preferred candidate should have a quantitative background and will be a key contributor in model development processes. We are a team that prides itself in high quality work with significant impact across the bank and continuous interaction with other groups, senior management and regulators. Given the nature of our work, the opportunity to learn, grow and expand your network is significant.

Requirements

Master’s Degree in quantitative field of study or equivalent
Strong predictive modeling background and analytical problem solving skills
Strong communication skills
Effective in translating technical expertise into business language that drive insights
Hands-on experience with SAS or Python.

Nice To Haves

Experience in credit risk modelling; familiar with financial credit products and relevant regulatory guidelines (e.g. IFRS9)
Expertise in navigating an Enterprise Data Warehouse, experience with Hadoop environments, R or other tools

Responsibilities

Develop, document, and implement Credit Risk Models for use in IFRS-9, CECL, CCAR, Stress Testing (EWST, MST).
Identify, communicate and troubleshoot modelling challenges, including related to data quality.
Deliver sound quantitative methodologies and the results from employing them.
Be agile in response to evolving model user requirements and competing priorities.
Conduct model development work with strong attention to detail; validate material model assumptions and limitations, and identify potential errors before they arise.
Present quantitative materials, concisely and accurately, internally as well as to key stakeholders.
Support Business Review, Model Validation, User-Acceptance Testing, Internal Audit and External Audit or Regulatory Review of Credit Risk Models.
Develop an organizational awareness, understanding process flows of data through model development through model users and impact to key business stakeholders.
Provide comprehensive documentation as a key component of the work product.