Associate Director, Enterprise Market Risk

RBC•Toronto, ON

4d•Onsite

About The Position

As Associate Director, you ensure that market risk exposures are provided to stakeholders in a timely and accurate manner, with commensurate analytical insight on the risks. You assist the Director by analyzing and confirming drivers of changes for various FVTPL and FVOCI portfolios, compiling daily/weekly reports, performing daily backtests, improving the existing reporting infrastructure and providing enhancements to senior management reports. You ensure that the requisite inputs for complete and accurate reporting will be available for reporting periods by working closely with the Regulatory Capital & Analysis team, the Quantitative Risk Analytics team and the various Local Market Risk teams.

Requirements

Minimum 5 years of experience in trading or trading risk management roles
Strong understanding of financial markets and trading businesses, both exchange traded and over the counter markets
Thorough knowledge of traded instruments including derivatives and their associated risks
Familiar with VaR and Stress Testing
Advanced MS Excel skills and proficiency in SQL for data querying and database management
Strong knowledge of programming languages and data visualization tools, preferably Python and Tableau/Power BI.

Nice To Haves

Master's degree in finance, economics, or a quantitative discipline (e.g., mathematics, physics, engineering, computer science) with strong quantitative coursework
FRM, CFA or other related professional qualifications

Responsibilities

Provide timely accurate and complete market risk reporting and analysis, owning the end-to-end processes that facilitate this reporting stream.
Design and develop new requirements for senior management reports, such as weekly Operating Committee report and FVOCI report.
Understand, analyze and communicate the drivers and trends of risks for RBC and key sub-portfolios, and provide context therein with respect to changes in the market risk profile of the portfolios.
Engage in Risk Modernization Project and develop/modify template for reporting for ATOM.
Provide detail risk analysis to senior management (such as quarterly risk reports, monthly/quarterly OSFI submission)
Maintain a thorough understanding of the methodologies used for Value at Risk (VaR), Stress VaR, Specific Risk (SR) and Stress Testing.
Generate trends and reports daily for senior management, and communicate key/material changes to all stakeholders.
Conduct testing and impact analysis for both strategic initiatives and ad-hoc projects/enhancements.