Manager, Enterprise Model Risk Management

RBC•Toronto, ON

2d•Onsite

About The Position

As a manager, you are responsible for model validation and benchmark model development of structured equity derivative models and downstream potential future exposure frameworks. Your responsibilities include preventing any loss that could occur due to the misuse of mathematically complex models, for the purpose of protecting and enhancing RBC’s financial safety and reputation. As a manager, you will evaluate material issues related to model risk and increase the bank’s operational effectiveness in dealing with a large volume of regulatory-driven model validation initiatives. You will contribute to RBC’s goal of being a leading financial services partner valued for our expertise.

Requirements

Experience in model validation, model development or a related position
Product knowledge of structured equity derivatives (single and multi-asset, multi-currency products)
An advanced degree (Masters, PhD) in a quantitative discipline, ideally in Finance
Fluency in computational techniques, including Monte Carlo simulation, numerical and analytic solution of partial differential equations.
Programming ability in languages like C/C++/Java/Perl/Python/VBA; adept at applications such as Excel/Matlab
Skilled at explaining complex processes in simple language

Nice To Haves

CFA Charter Holder and/or FRM or PRM certification

Responsibilities

Independently validate new and existing valuation and risk measurement models for RBC Capital Markets with a concentration on structured equity derivatives and their application to potential future exposure (PFE) calculations.
Provide consultancy to Local Market Risk, Finance and Global Valuations regarding technical model issues and independent price verification issues.
Identify and escalate material issues related to model risk, and providing consultancy with respect to potential solutions to these issues.
Assess the theoretical soundness, calibration quality, and exposure implications of equity derivatives pricing and PFE models.
Identify and articulate model limitations.
Report writing and model inventory maintenance.
Identify inconsistencies across models and escalate inconsistencies to management.