Associate Director - Market Risk Stress Testing
About The Position
As an Associate Director, you are an integral member of the Market Risk Stress Testing team within Market and Counterparty Credit Risk (MCCR). The Market Risk Stress Testing team develops, implements, and analyzes stress scenarios across all asset classes to provide senior management, business heads, and regulators with views on market risk concentrations and capital adequacy. The team is also responsible for ensuring compliance with all regulatory stress testing requirements for market risk. In this highly visible role, you will gain broad exposure to multiple business lines, trading strategies and financial instruments through the continued development of the market risk stress testing program, with an emphasis on the design, implementation and analysis of relevant stress scenarios.
Requirements
- 5+ years of experience in a role supporting market and counterparty credit risk measurement and reporting.
- Strong understanding and thorough knowledge of traded products, derivative pricing, market risk methodologies, systems and processes.
- Strong understanding of IT practices and ability to manage and prioritize development tasks, as required.
- Excellent written and oral communication skills, including prior experience with presenting to senior audiences.
- Ability to work collaboratively and under tight deadlines.
- Detailed knowledge of MS Excel, SQL, and Python
- MBA, MA or MSc or equivalent with emphasis in finance, economics or a quantitative discipline.
Responsibilities
- Conduct thorough analysis to ensure completeness and reasonableness of results, produce summaries of potential concentrations and trends in risk that could result in significant financial loss under adverse market conditions.
- Participate in the scenario design process including identifying all material market risks, appropriately calibrating stress shocks, and reviewing and challenging scenario designs approaches and assumptions.
- Demonstrate a deep, detailed understanding of trading and non-trading market risks at RBC as well as the current market environment, to provide senior management with confidence in the reasonableness of stress test outcomes that may inform necessary action(s).
- Execute the market risk components of all regulatory stress tests - such stress tests are critical in assuring regulators that RBC is well-positioned to withstand severe but plausible market events.
- Document, challenge and provide expertise on market risk stress testing methodologies and assumptions across RBC.
- Gather findings and results of stress tests, methodology changes, and system changes to business heads and internal review committees.
- Provide requirements in the design of key components of the strategic market risk platform that are related to stress testing and test the IT builds before promotion to production.
Benefits
- A comprehensive Total Rewards Program include competitive compensation and flexible benefits, such as 401(k) program with company-matching contributions, health, dental, vision, life, disability insurance, and paid-time off.
- Leaders who support your development through coaching and managing opportunities.
- Ability to make a difference and lasting impact.
- Work in a dynamic, collaborative, progressive, and high-performing team.
- Opportunities to do challenging work.
- Opportunities to build close relationships with clients.
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What This Job Offers
Job Type
Full-time
Career Level
Director
Industry
Credit Intermediation and Related Activities
Number of Employees
5,001-10,000 employees
