Associate Director - Model Risk

Royal Bank of Canada•Jersey City, NJ

2d•Onsite

About The Position

The US Enterprise Model Risk Management (EMRM) under RBC’s Group Risk Management (GRM) mainly performs the second line of defense role for RBC’s Combined US Operation (CUSO) model risk at the enterprise level. As Associate Director of US EMRM, the person will work closely with model stakeholders to independently validate various mathematical/statistical models used by RBC, especially for US products and CCAR purpose. The person will also act as an effective challenger to model developers and users on all matters pertaining to risk modeling requirements. The validation scope of this role includes various US securitized products, such as Agency RMBS, Non-Agency RMBS, CMBS, ABS, and CLO, and Whole Loans. Related models include prepayment and default, credit rating, pricing, risk calculation, and Value at Risk (VaR).

Requirements

At minimum master’s degree in financial, Mathematics, Statistics, Engineering, Computer science or equivalent and 2-5 yrs related work experience.
Good knowledge of credit rating, statistical skills, and market risk background.
Broad product knowledge across securitized products and US fixed income area.
Be familiar with U.S. securitized product origination process and secondar trading market, particularly for Agency MBS, Whole Loan, Mortgage Servicing Right, etc. and related prepayment and default model, credit rating, and pricing models.
Above average oral and written presentation skills.
Good communication and interpersonal skills – ability to present clearly complicated modelling concepts and techniques to senior management and regulators.
Good negotiating skills with modelers, internal auditors, and regulators.

Responsibilities

Perform full model validation, including employing various quantitative and qualitative techniques to review, test, replicate, challenge, benchmark and assess model risk.
Perform ongoing model reviews per RBC’s Enterprise Model Risk Management policy, such as periodic Annual Assessment review, finding remediation, Ad-hoc model update, and system release.
Compile comprehensive reports summarizing key observations, conclusions, and recommendations in support of various model review results.
Coordinate with model stake holders, like modelers, market risk, IT, and other related function group personnel, to pro-actively identify, assess, monitor, and manage model risk and resolve related model issues.