Manager, Enterprise Model Risk Management – GRM
What will you do?
- Independently validate (replicate, benchmark, and/or back test, as applicable) new and existing pricing and risk measurement models for RBC Capital Markets
- Identify and escalate material issues related to model risk, and provide consultancy to business model users/owners with respect to potential solutions to those issues
- Assist Local Market Risk, Product Control and Valuations, and other model stakeholders to monitor and assess the ongoing performance
- Perform report writing, annual model assessments, and model inventory maintenance
- Acquire and maintain a thorough understanding of the flow and context of model usage by the business.
- Engage model developers and related functional group personnel as necessary in order to proactively assess, document, and independently validate mathematical models and their usage
- Keep abreast of latest developments in derivatives pricing and risk modeling
What do you need to succeed?
- Graduate degree in quantitative areas, such as Mathematics, Physics, Computer Science, Engineering, Finance, and Economics
- Fluency in computational techniques, including Monte Carlo simulation for stochastic differential equations and expectation calculation, and finite difference method for solving partial differential equations
- Strong programming skills, proficiency in at least one high-level (Python preferred) and/or one lower-level (C++ or C# preferred)
- Exposure to and good knowledge of quantitative financial models, including derivative pricing models, risk and capital models
- Good communication and interpersonal skills
- Work experience in quantitative finance modeling or a related position
- FRM or PRM certification, CFA Charter Holder
What’s in it for you?
We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual.
- A comprehensive Total Rewards Program including bonuses and flexible benefits and competitive compensation
- Leaders who support your development through coaching and managing opportunities
- Work in a dynamic, collaborative, progressive, and high-performing team
- Opportunities to do challenging work
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Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at jobs.rbc.com
Address: 200 Bay Street
Work Hours/Week: 37.5
Work Environment: Office
Employment Type: Permanent
Career Level: Experienced Hire/Professional
Pay Type: Salary + Variable Bonus
Required Travel (%): 0
People Manager: No
Application Deadline: 03/30/2021
Platform: Group Risk Management
Req ID: 333936
Toronto, Ontario, Canada
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