Manager, IRRBB Measurement

Royal Bank of Canada • Toronto, ON

1d • Onsite

About The Position

The Manager, IRRBB Measurement supports RBC compliance with OSFI’s B-12 guidelines along with BCBS 368 (IRRBB) regulations. The scope of the position includes the Domestic banking subsidiaries. Interest rate risk is the largest market risk inherent in the structural balance sheet and its effective measurement is necessary for preservation of shareholder value and stability of net interest income. This position brings highly specialized knowledge and expertise in development of models and processes related to measurement and evaluation of interest rate risks.

Requirements

• Degree in Business, Mathematics or related fields
• 2+ years of relevant Treasury experience
• Solid understanding of financial principles and risk concepts
• Strong grasp of Asset Liability Management practices
• Advanced knowledge of database concepts (SQL)
• Proven analytical and problem solving skills
• Good understanding of business and accounting regulations
• Excellent communication skills both verbal and written
• Well organized, ability to work on multiple tasks and deadlines
• Excellent business computer skills (Microsoft Office, Visual Basic)

Nice To Haves

• MBA, CFA or FRM
• QRM process and development skills
• RPA experience, in particular Blue Prism
• Preferred experience with Vertica and Tableau

Responsibilities

• Leverage expertise in risk and performance measurement of the retail and wholesale products in the Canada, US, UK and EU.
• Maintain and improve processes supporting RBC’s leadership in the area of balance sheet management by providing cutting edge expertise in risk and performance measurement; and a deep understanding of the retail and investment products.
• Support comprehensive measurement of IRRBB.
• Maintain and continuously improve IRRBB (Value and earnings) measurement processes including extract/transform/load processes, balance and control, valuation/planning related to the transfer priced / mismatch position as well as client contractual risk positions.
• In scope reporting automation and efficiencies include i) regulatory reporting, internal management reporting, and external disclosures; along with ii) risk / sensitivity profiles, position data, behavior tracking, and compliance reporting.
• Support IRRBB model development and implementation by leveraging consumer behaviour econometric modeling and forecasting (prepayment, redemption, and pull-through) and retail product and embedded option pricing models in the CAD and US non-trading balance sheets.
• Develop new risk reports and presentations and provide reconciliation and attribution of risk measurement results and changes for both value and earning risks to the Bank ALCO committees, Corporate and Local Treasury's Senior management.
• Prepare and maintain documentation regarding risk measurement methodology, processes and procedures, product modeling and implementation of model enhancements.

Benefits

• A comprehensive Total Rewards Program including bonuses and flexible benefits
• Leaders who support your development through coaching and managing opportunities
• Ability to make a difference and lasting impact
• Work in an agile, collaborative, progressive, and high-performing team
• The opportunity to interface with senior level executives from many different parts of the organization

What This Job Offers

• Job Type: Full-time
• Career Level: Manager