Job Summary

Responsible for the conceptual design, development, and ongoing maintenance of the mathematical models used for the measurement and capitalization of the counterparty credit risk of RBC's derivative portfolio. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's CCR.

Job Description

What is the Opportunity?

As part of the Group Risk Management team, the Associate Director, Counterparty Credit Risk Analytics is responsible for the conceptual design, development, and ongoing maintenance of the mathematical models used for the measurement and capitalization of the counterparty credit risk of RBC's derivative portfolio. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's CCR.

What will you do?

Work with model users to understand their business requirements.

Conduct research, review regulatory requirements and consult with industry stakeholders to evaluate best practices for modeling.

Make recommendations on model methodologies, and develop technical implementation, either for production usage or to serve as a prototype for benchmark testing.

Provide business requirements with technical implementation details and user acceptance criteria to technology teams for production deployment, and validate implementation using independently developed benchmark models.

Document model methodologies, implementation details and testing results, and work with internal validation to facilitate their approval of the models.

Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.

Investigate and remediate modeling issues identified through regular re-reviews, ongoing monitoring or by internal validation.

Recalibrate models on a regular basis.

Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.

What do you need to succeed?

Must Have:

Broad product knowledge across various asset classes and knowledge of regulatory & internal risk management requirements for counterparty credit risk

Strong analytical and problem solving skills

Excellent programming skills (e.g., Python, MatLab)

Data management and analysis skills (SQL and Excel required)

Ability to work collaboratively to achieve team goals

Agility to adapt to changing circumstances in a dynamic environment

Experience managing a team

Strong English communication skills, both written and verbal, especially in the explanation of complex modeling concepts to senior management and regulators

Nice-to-Have:

Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.

What is in it for you?

We thrive on the challenge to be our best, progressive thinking, to keep growing, and working together to build and deliver trusted reporting to help our stakeholders succeed 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, competitive compensation

Ability to make a difference and lasting impact

Work in a dynamic, collaborative, progressive, and high-performing team

Opportunities to take on progressively greater accountabilities

Job Skills

Analytical Thinking, Counterparty Credit Risk (CCR), Counterparty Risk, Critical Thinking, Financial Engineering, Financial Instruments, Financial Regulation, Mathematical Finance, Mathematics Modeling, Model Development, Python (Programming Language), Quantitative Methods, Risk Management, Risk Models

Additional Job Details

Address:

ROYAL BANK PLAZA, 200 BAY ST:TORONTO

City:

TORONTO

Country:

Canada

Work hours/week:

37.5

Employment Type:

Full time

Platform:

GROUP RISK MANAGEMENT

Job Type:

Regular

Pay Type:

Salaried

Posted Date:

2025-07-11

Application Deadline:

2025-07-26

Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above

Inclusion and Equal Opportunity Employment

At RBC, we believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.

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