Director, IRRBB & FTP Model Risk Management

RBC • Toronto, ON

1d • Onsite

About The Position

The Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team performs the second line of defense role for all balance sheet and liquidity risks at the enterprise level. As Director, IRRBB & FTP Model Risk Management, you will lead the vision and strategy for independent oversight of methodologies, parameters, assumptions, and models used for measuring interest rate risk in the banking book (IRRBB) and fund transfer pricing. You will serve as a trusted advisor and effective challenger to senior stakeholders on all matters pertaining to IRRBB and FTP methodology and model risk. You will build and mentor a high-performing team while setting the direction for model validation practices and establishing IRRBB validation standards across the organization.

Requirements

• Advanced university degree in a financial or quantitative discipline (such as financial engineering, mathematics, statistics, economics, finance, engineering, computer science, physics, or any equivalent discipline).
• 5+ years of work experience in financial industry, with at least 3 years in model validation, financial modeling, treasury asset liability management, or interest rate risk management roles with demonstrated progressive responsibility.
• Strong computational, data analytical, and critical thinking skills.
• Advanced proficiency in Python, Excel, and SQL.
• Strong knowledge of general banking products and IRRBB regulatory requirements such as OSFI B12.
• Comprehensive understanding of RBC's businesses and balance sheet structure, with particular knowledge of interest rate risk and customer behavioral dynamics.
• Proven experience leading and developing technical teams in a risk or model validation environment.
• Excellent collaborative mindset and superb interpersonal skills, with strong verbal and written communication abilities suitable for executive-level interactions.
• Track record of establishing frameworks, policies, or standards that have improved organizational practices or governance.
• Strong organizational and planning skills with demonstrated ability to prioritize across competing regulatory and business initiatives.

Nice To Haves

• Relevant professional designations (CFA, FRM, or similar).
• Experience in regulatory examination or compliance roles related to IRRBB.
• Familiarity with QRM software.

Responsibilities

• Oversee validation activities for IRRBB and FTP models and component customer behavioral models such as mortgage prepayment, non-maturity deposit, and commitment models across the enterprise
• Ensure the team delivers timely and effective assessments of model methodology, assumptions, limitations, data quality, implementation, and performance monitoring frameworks.
• Lead the design and methodology of validation testing and robustness assessments, establishing testing protocols and standards to evaluate IRRBB and FTP model effectiveness across the enterprise.
• Ensure validation reports are comprehensive and of high-quality to inform senior management and governance forums on model performance, risk, and findings.
• Engage with model owners, developers, users, and stakeholders to proactively identify, assess, monitor, and manage model-related concerns or findings at an enterprise level.
• Collaborate with model governance, senior risk managers, audit teams, and business partners to ensure validation strategies and recommendations are well-informed by business context and aligned with regulatory requirements.
• Lead efforts to ensure that RBC's Balance Sheet and Liquidity Risk frameworks and policies meet local regulatory requirements such as OSFI B12 and align with business strategies and industry best practices.
• Manage team work plans, resource allocation, and project prioritization to ensure completion in accordance with committed timelines and regulatory deadlines, including regulatory reviews, inspections, audits, and other governance deliverables.
• Implement corporate and divisional strategic plans and budgets for the BSLR IRRBB & FTP validation function, ensuring alignment with enterprise priorities and regulatory requirements.
• Manage activities and performance of senior managers and managers reporting to the Director, providing clear direction, accountability, and support for execution of validation programs.
• Recruit, develop, and mentor team members in model validation activities, fostering their technical expertise and leadership capabilities while embodying RBC values of collaboration, respect, and excellence.
• Keep abreast of industry trends and regulatory developments on IRRBB and interest rate risk management, translating emerging insights into organizational strategy and practice improvements.

Benefits

• A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation
• Ability to make a difference and lasting impact
• Work in a dynamic, collaborative, progressive, and high-performing team
• Opportunities to take on progressively greater accountabilities

What This Job Offers

• Job Type: Full-time
• Career Level: Director
• Number of Employees: 5,001-10,000 employees