Associate Director, Market Risk Governance and Controls

RBC•New York, NY

6d•$120,000 - $200,000•Onsite

About The Position

The Associate Director, Market Risk (FRTB Capital) will play a pivotal role in building and leading RBC’s market risk regulatory reporting infrastructure under the Basel 3 Endgame (B3EG) framework. The individual will architect end-to-end production of critical US IHC regulatory submission including the FFIEC 102 (weekly FRTB capital reporting), FR Y-9C Risk-to-Finance reconciliations, and CCAR Market RWA projections for FRY-14A. This high-impact role offers ownership over establishing automated reporting workflows, partnering with IT on system implementations and data pipeline enhancements, and driving strategic initiatives such as FRTB calculator improvements and IMA vs. SA approach analysis. The ideal candidate brings 5+ years of market risk reporting or regulatory capital experience, strong technical capabilities in Python and SQL, and a track record of delivering accurate regulatory submissions in production environments.

Requirements

Bachelor’s degree in finance, Engineering, Mathematics, or related quantitative discipline; advanced degree preferred
5+ years of experience in market risk management at a financial institution with hands-on involvement in regulatory reporting and FRTB implementation.
Deep understanding of market risk capital frameworks (Basel III/IV, FRTB SA/IMA approach) and associated regulatory reporting requirements
Proven experience designing and maintaining reconciliation frameworks between risk systems and general ledger/finance platforms; ability to identify, investigate and resolve complex data breaks
Advanced proficiency in data analysis and automation using Python, SQL, and Excel to manipulate large-scale datasets, build validation tools and streamline reporting workflows
Hands-on experience with Business Intelligence and reporting tools (Tableau, OBI, or equivalent) and market risk systems; ability to translate data into actional insights through dashboard and visualizations
Excellent written and verbal communication skills with demonstrated ability to synthesize complex regulatory and technical concepts for senior management and regulators, and cross-functional stakeholders
Ability to manage recurring production processes under tight weekly deadlines while maintaining accuracy and completeness
Autonomous, highly motivated, and able to work independently and collaboratively in a fast-paced environment

Responsibilities

Lead the design, implementation, and ongoing production of Market Risk regulatory reports under B3EG, including the FFIEC 102 and weekly FRTB capital reports and CCAR Market RWA 9-quarter projections; establish automated reporting views and dashboards to support granular schedule-level reporting – 25%
Partner with IT and Group risk Analytics team on FRTB Standardized Approach (SA) calculator enhancements for jurisdictional changes, system implementations, and data pipeline automation; coordinate UAT testing, production validation and reporting infrastructure improvements – 20%
Build and maintain the Risk-to-Finance reconciliation framework (FR Y-9C), perform comprehensive data analysis across market risk exposures, capital calculations, and reporting datasets; including root-cause analysis of breaks and develop automated reconciliation tools and validation checks– 20%
Design and implement controls automation solutions for reporting and capital calculation processes; build automated validation checks, exception monitoring tools, and alerting mechanisms to enhance data quality, control effectiveness, and reduce manual intervention – 15%
Conduct FRTB Internal Models Approach (IMA) impact analysis and desk-level feasibility assessments; collaborate with trading desks and modelling teams to evaluate capital benefits, backtesting performance, and P&L attribution requirements; provide recommendations on optimal approach selection (IMA vs. SA) by desk – 10%
Develop and maintain reporting documentation including data lineage, process flows, line-item mapping, and methodology descriptions; monitor regulatory developments, participate in FRB data collection exercises (e.g., HPE/QIS), and support internal audit, RCSA, and regulatory examination processes – 10%