Director, Market Risk Model Developer

RBC•Toronto, ON

10d•CA$110,000 - CA$160,000•Onsite

About The Position

We are seeking a skilled Market Risk Model Developer to support the RBC Insurance CIO Function to measure, analyze and report market risk. The ideal candidate will develop and maintain a robust risk framework and practice through modeling to provide actionable insights into investment portfolios, risk exposures, regulatory metrics, and performance reporting. This role is essential for enabling data-driven decision making by portfolio managers, actuaries, and senior leaders.

Requirements

Minimal bachelor’s degree in computer science, quantitative mathematics or related fields with working knowledge on insurance asset and liability management.
6+ years of working experience in python-based full cycle model design, development, validation and testing.
Solid understanding on various asset classes (bonds, equities, linear and nonlinear derivatives, structured products), capital requirements, and portfolio level analytics.
Passion to solve technical problems and flexible to adapt to changes in a dynamic working environment.
Excellent communication skills and ability to collaborate across investment, risk and other functional partners.
A high-performing team leader to direct team strategy, performance, and development to deliver robust risk measurement and reporting across the organization.

Nice To Haves

Experience with Insurance company data and reporting process.
Knowledge of data ETL process and data management would be an asset.
Knowledge of Snowflake and Power BI would be an asset.
Knowledge of Bloomberg would be an asset.

Responsibilities

Lead the creation and implementation of key risk metrics (PV01, CS01, Inflation 01, XCCY01) across all asset classes to provide clear visibility into market exposures.
Integrate market risk measures and reporting into the Enterprise Risk Management framework, including stress scenario analysis, to ensure cohesive risk oversight.
Validate daily PnL reporting by linking it to risk metrics and cash flows, demonstrating how market risk positions directly impact financial results.
Decompose total asset PnL by market risk driver to support performance attribution and inform business decision-making.
Manage market risk reporting processes and collaborate with the 2LOD to ensure robust market risk model governance and control.
Partner with CIO leadership on 1LOD risk governance, controls, and reporting within the Investments proprietary platform to strengthen the enterprise risk framework.