Manager Enterprise Model Risk management

RBC•Toronto, ON

1d•Onsite

About The Position

As part of the Group Risk Management (GRM) team, the Senior Analyst, Enterprise Model Risk Management will validate (replicate, benchmark, back- test, and apply other techniques as applicable) credit-related capital markets models (pricing used for financial and regulatory reporting for RBC trading activities. The ideal candidate will identify and escalate material issues related to model risk, and provide consultancy to model stakeholders with respect to potential technical solutions to these issues and designing model performance monitoring frameworks.

Requirements

Graduate degree in a quantitative area such as Mathematics, Physics, Computer Science, Engineering, Finance, Financial Engineering, or Economics.
Broad exposure to and excellent knowledge of derivative pricing models and risk management methodology.
Experienced in computational techniques, including Monte Carlo simulation and numerical and analytic techniques for solving partial differential equations.
Strong programming skills: C/C++ and Python preferred.
Strong communication and interpersonal skills.

Nice To Haves

Previous work experience in mathematical modeling in a similar or related role, such as a model developer or validator, a front office quant, a risk quant, or a risk manager.
FRM or PRM certification, CFA Charter Holder.

Responsibilities

Take ownership of assigned models to provide effective testing and oversight of model risk while ensuring that validation activities are completed in an efficient manner.
Deliver required work products in a timely manner: validation reports, technical documents, and testing code and tools.
Streamline and automate validation tests as much as feasible.
Identify and articulate model limitations and inconsistencies across models and escalate inconsistencies to management.
Consult with Market Risk, Finance, and Global Valuations regarding technical model issues and independent price verification issues.