Royal Bank of Canada

Toronto, ON Full-time Salary not specified

As part of Group Risk Management, the Director leads a team responsible for designing, developing, and maintaining mathematical models used to measure and capitalize counterparty credit risk across RBC's derivatives and securities financing transactions portfolio.

What you'll do

- Work with model users to understand business requirements and research regulatory requirements and industry practices.
- Recommend model methodologies and develop technical implementations or prototypes for benchmark testing.
- Provide requirements and acceptance criteria to technology teams, then independently validate production implementations using benchmark models.
- Document methodologies, implementations, and test results; work with internal validation to support model approval.
- Develop tools to monitor model performance, assumptions, and limitations, and report to governance committees.




- Investigate and remediate modeling issues, recalibrate models, and conduct regular model reassessments and benchmarking.

What you'll need

- Broad knowledge of traded products across asset classes and an understanding of counterparty credit risk measurement, regulation, and industry practices.
- Strong analytical, programming, data management, and analysis skills, including Python, SQL, and Excel.
- Experience managing a team and communicating complex modeling concepts to senior management and regulators.
- A master's degree in financial engineering or another quantitative field, or a relevant professional qualification, is an asset.

Full time, salaried role in Toronto, Ontario. Applications are accepted until 11:59 p.m. on the day before the listed application deadline.

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📌 Director, Counterparty Credit Risk Models, Global Risk Analytics (Toronto)
🏢 Skillhub Solutions
📍 Toronto