US ALM Risk Manager, RBC Capital Markets, LLC, Jersey City, NJ

Royal Bank of Canada•Jersey City, NJ

13d•Hybrid

About The Position

Analyze data and prepare reports of observations, and provide recommendations based on findings pertaining risk management for Interest Rate in the Banking Book (IRRBB). Utilize the Bank’s banking book market risk measurement platforms to support risk analytics. Understand and quantify the impacts from model and parameter assumptions (quantitative and qualitative) employed within the banking book market risk framework, including deposit duration models, retail pricing models, and loan prepayment models. Ensure risk reporting is timely and accurate and changes in risk are properly investigated and understood. Provide insight on key risks and exposures versus market trends and potential events to identify and provide insight on emerging risk exposures.

Requirements

Bachelor’s degree in Finance, Economics, or Mathematics or a related field
2 years of related work experience.
2 years of experience in solving complex financial modeling problems related to ALM (Asset and Liability Management) and interest rate risk management.
2 years of experience in preparing and reviewing comprehensive risk management reports on a regular basis.
2 years of experience in presenting complex risk analyses, with a track record of delivering reports or presentations to senior management and cross-functional teams.
2 years of experience in reviewing and validating financial models or assumptions with documented approval memos and recommendations.
2 years of experience in monitoring and managing risk exposures against risk appetite limits supported by data-driven proposals.
Experience with risk management software including Polypaths, QRM, and MS Office Suite for data management, analysis, and reporting.

Responsibilities

Analyze data and prepare reports of observations, and provide recommendations based on findings pertaining risk management for Interest Rate in the Banking Book (IRRBB).
Utilize the Bank’s banking book market risk measurement platforms to support risk analytics.
Understand and quantify the impacts from model and parameter assumptions (quantitative and qualitative) employed within the banking book market risk framework, including deposit duration models, retail pricing models, and loan prepayment models.
Ensure risk reporting is timely and accurate and changes in risk are properly investigated and understood.
Provide insight on key risks and exposures versus market trends and potential events to identify and provide insight on emerging risk exposures.