Lead counterparty credit risk model development at RBC in Toronto, using Python, quantitative analysis, and regulatory expertise. Manage a specialized analytics team.
As Director, Counterparty Credit Risk Analytics, you will lead models measuring and capitalizing counterparty credit risk across RBC’s derivative and SFT portfolio. You will evaluate methodologies, guide technical implementation, and support effective counterparty credit risk management. The work requires collaboration with model users, technology teams, internal validation, industry stakeholders, and regulators.
Key Responsibilities: Lead conceptual design, development, and maintenance of counterparty credit risk models
Evaluate regulatory requirements, research practices, and recommend model methodologies
Provide implementation details and acceptance criteria for production deployment
Develop tools monitoring model performance, assumptions, and limitations
Recalibrate models and remediate issues identified through reviews
Requirements: Broad knowledge of traded products across asset classes
Understanding of counterparty credit risk regulatory requirements
Excellent programming skills, including Python
Robust data management skills using SQL and Excel
Experience managing a team and explaining complex models
Apply your counterparty credit risk, model development, Python, and leadership expertise to RBC’s Toronto analytics team.