Associate Director - Quantitative Risk Analytics

Royal Bank of Canada • Jersey City, NJ

15h • $120,000 - $200,000

About The Position

GRA (Global Risk Analytics) Market Risk Methodology team has primary responsibility for risk methodologies related to the measurement of market risk 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.
The team is also responsible for market data and scenarios services to various risk systems.
The Associate Director is responsible for methodologies related to market risk management. The primary responsibilities include developing quantitative risk models for Value at Risk (VaR) and stress testing purpose for various product types and portfolio, implementation, documentation, performance monitoring and presenting of these methodologies to related committee.

Requirements

• 2+ years of working experience in quantitative analytics
• Master’s in Financial, Engineering, Statistics/Mathematics/Physics or equivalent. PhD in Finance, Engineering, Applied Sciences or Economics is a plus
• Good knowledge of regulatory requirements under statistical regression models, market risk models and regulatory rules. Broad product knowledge across fixed income, equity and derivative instruments
• Be familiar with securitized product prepayment and default model, interest rate model and pricing model for securitized product
• Be familiar with U.S. securitized product origination process and secondar trading market, particularly for Agency MBS, MBS Whole Loan, Mortgage Servicing Right, etc.
• Above average oral and written presentation skills
• Excellent communication and interpersonal skills – ability to present clearly complicated modelling concepts and techniques to senior management and regulators
• Strong programming experience in Python/C++/C# and SQL
• 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

Responsibilities

• Develop Value-at-Risk (VaR) models for securitized products, including Agency MBS, MBS Whole Loan, ABS and CLO, Rate locks and Mortgage Service Right (MSR).
• Develop model prototype to implement the methodology or test methodology soundness.
• Remediate model issues from internal validation, internal audit as well as external regulators.
• Investigate issues raised by model users on adhoc basis and develop remediation solutions.
• Develop and implement performance monitoring framework for VaR models, including backtesting, assessment for model assumption/limitation, benchmarking model, etc.
• Conduct model performance monitoring on a regular basis. Summarize the monitoring results into documentations and present results in Model Monitoring Working Group.
• Work with local market risk and front office to coordinate and resolve model related issues.
• Interact with market data team to ensure the accuracy and completeness of the market data used to support the various models. Market data is a key underlying component for all key risk models, and is accordingly a critical area of focus BAU risk management. The work related to market data will involve a significant amount of effort and change in order to comply with the Regulatory expectations.
• Interact with model users and senior management regarding methodology analysis for market risk. Provide comprehensive explanation of the model results to the risk managers and senior management.

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.
• You have the potential to earn more through RBC’s discretionary variable compensation program which gives you an opportunity to increase your total compensation, provided the business meets its performance targets and you meet your individual goals.

What This Job Offers

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