Manager, Enterprise Market Risk Reporting & Analysis

RBC•Toronto, ON

5d•Onsite

About The Position

As part of the Group Risk Management (GRM) team, the Manager, Enterprise Market Risk Reporting & Analysis will ensure that all market risk exposures and any material changes are provided to stakeholders in a timely and accurate manner, with commensurate analytical insight and its appropriate communication. You assist the Director and Senior Manager, Enterprise Market Risk Reporting & Analysis by analyzing and confirming the drivers for various trading portfolios, compiling the daily/weekly reports, performing the daily backtest, improving the existing reporting infrastructure and carrying out ad-hoc requests from senior management.

Requirements

2+ years of experience in trading or trading risk management roles
MBA, MA or MS or equivalent with emphasis in finance, economics or a quantitative discipline
Thorough knowledge of traded products including derivatives and their associated risks
Excellent knowledge of Tableau, MS Excel and exposure to MS Access and other database programs (SQL)
Strong knowledge of programming languages, preferably Python

Nice To Haves

CFA, CA, FRM or other related professional qualifications
Familiar with VaR and Stress Testing
Good understanding of financial markets and trading businesses, both exchange traded and over the counter markets

Responsibilities

Provide timely accurate and complete market risk reporting and analysis, owning the end-to-end processes that facilitate this reporting stream
Understand, analyze and communicate the drivers, trends and for RBC (and key sub-portfolios) and provide context therein with respect to changes in the market risk profile of the business.
Perform daily reconciliation between EMR and local market risk team
Maintain a thorough understanding of the methodologies used for Value at Risk (VaR), Stress VaR, Specific Risk (SR), Stress Test scenario
Generate trends and reports daily for senior management, and communicate key/material changes to all stakeholders
Participate in other ad hoc analysis around RBC’s market risk exposures, including longer-term trend analysis of historical risk results / concentrations
Perform daily backtesting, generate weekly Operating Committee report, and quarterly trend analysis report
Maintain the database for historical trend analysis