Associate Director, Gra Risk Methodology
Job Summary
GRA (Global Risk Analytics) Risk Methodology team has primary responsibility for risk methodologies related to the measurement of market and counterparty credit risk for RBC trading business and selected investment portfolios. This includes leading the methodology specifications, prototype implementation, as well as performance monitoring and maintenance of these methodologies.
Job Description
What is the opportunity?
The Associate Director is responsible for methodologies related to market risk, counterparty credit risk and new emerging risks. This includes model specification, implementation, performance monitoring, documenting and presenting of these methodologies.
GRA (Global Risk Analytics) Core Methodology team has primary responsibility for risk methodologies related to the measurement of market and counterparty credit risk for RBC trading business and selected investment portfolios. This includes leading the methodology specifications, prototype implementation, as well as performance monitoring and maintenance of these methodologies. The team is also responsible for market data and scenarios services to various risk systems.
What will you do?
Develop, implement, document, maintain and monitor methodologies for market risk and CCR across various asset classes (includes fixed income, interest rate derivatives, equity, and foreign exchange). This includes, but not limited to VaR / SVaR / Stress P&L calculations.
Work with Local and Enterprise Market Risk teams, Risk IT and Enterprise IT to implement end-to-end solution for projects.
Present methodology proposal and analytical impacts to senior management committee member for approval or sharing information.
What do you need to succeed?
Must-have
2+ years of working experience in quantitative analytics, such as derivative pricing, market risk models or CCR models
Master's in Financial, Engineering, Statistics/Mathematics/Physics or equivalent. PhD in Finance, Engineering, Applied Sciences or Economics is a plus.
Strong programming experience in Python/C++/C# and SQL.
Strong communication skills in oral and written formats.
Team players to collaborate and innovate.
Self-motivated with a high level of analytical capabilities and attention to detail.
Eager to learn.
Nice-to-have
Experience in a similar role
What's in it for you?
A comprehensive Total Rewards Program including bonuses and flexible benefits and competitive compensation.
Leaders who support your development through coaching and managing opportunities.
Ability to make a difference and lasting impact.
Flexible work/life balance options.
Work in a dynamic, collaborative, progressive, and high-performing team.
Opportunities to do challenging work.
Job Skills
Client Counseling, Competitive Markets, Critical Thinking, Financial Instruments, Financial Regulation, Investment Risk Management, Long Term Planning, Quantitative Methods, Risk ManagementAdditional Job Details
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Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above
Inclusion and Equal Opportunity Employment
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