Associate Director, GRA Risk Methodology

RBC • Toronto, ON

5d • Onsite

About The Position

The Associate Director is responsible for methodologies related to market risk. This includes model specification, implementation, performance monitoring, documenting and presenting of these methodologies. GRA (Global Risk Analytics) Risk Methodology team has primary responsibility for risk methodologies related to the measurement of market for RBC trading business and selected investment portfolios. This includes leading the methodology specifications, prototype implementation, as well as performance monitoring and maintenance of these methodologies.

Requirements

• 2+ years of working experience in pricing, market risk, CCAR or counterparty credit risk
• Masters in Financial, Engineering, Statistics/Mathematics/Physics or equivalent.
• Knowledge about pricing models and quantitative analytics.
• Strong programming experience in Python and SQL.
• Strong communication skills in oral and written formats.
• Team players to collaborate and innovate.
• Self-motivated with a high level of analytical capabilities and attention to detail
• Eager to learn.

Nice To Haves

• Experience in a similar role
• PhD in Finance, Engineering or Applied Sciences is a plus.

Responsibilities

• Develop, implement, document, maintain and monitor methodologies for market risk across various asset classes (includes fixed income, interest rate derivatives, equity, and foreign exchange). This includes, but not limited to VaR / SVaR / FRTB approaches.
• Work with Risk IT, Enterprise IT, and Counterparty Credit Risk and Market Risk teams to implement end-to-end solution for projects.

Benefits

• bonuses
• flexible benefits
• competitive compensation
• Leaders who support your development through coaching and managing opportunities.
• Ability to make a difference and lasting impact.
• Flexible work/life balance options.
• Work in a dynamic, collaborative, progressive, and high-performing team.
• Opportunities to do challenging work.

What This Job Offers

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