Associate Director - Model Risk

What is the Opportunity?

The US Enterprise Model Risk Management (EMRM) under RBC's Group Risk Management (GRM) mainly performs the second line of defense role for RBC's Combined US Operation (CUSO) model risk at the enterprise level.

As Associate Director of US EMRM, the person will work closely with model stakeholders to independently validatevarious mathematical/statistical models used by RBC, especially for US products and CCAR purpose, The person will also act as an effective challenger to model developers and users on all matters pertaining to risk modeling requirements.

The validation scope of this role includes various US securitized products, such as Agency RMBS, Non-Agency RMBS, CMBS, ABS, and CLO, and Whole Loans. Related models include prepayment and default, credit rating, pricing, risk calculation, and Value at Risk (VaR).

What will you do?

• Perform full model validation, including employing various quantitative and qualitative techniques to review, test, replicate, challenge, benchmark and assess model risk.

• Perform ongoing model reviews per RBC's Enterprise Model Risk Management policy, such as periodic Annual Assessment review, finding remediation, Ad-hoc model update, and system release.

• Compile comprehensive reports summarizing key observations, conclusions, and recommendations in support of various model review results.

• Coordinate with model stake holders, like modelers, market risk, IT, and other related function group personnel, to pro-actively identify, assess, monitor, and manage model risk and resolve related model issues.

What do you need to succeed?

• At minimum master's degree in financial, Mathematics, Statistics, Engineering, Computer science or equivalent and 2-5 yrs related work experience.

• Good knowledge of credit rating, statistical skills, and market risk background. Broad product knowledge across securitized products and US fixed income area.

• Be familiar with U.S. securitized product origination process and secondar trading market, particularly for Agency MBS, Whole Loan, Mortgage Servicing Right, etc. and related prepayment and default model, credit rating, and pricing models.

• Above average oral and written presentation skills.

• Good communication and interpersonal skills - ability to present clearly complicated modelling concepts and techniques to senior management and regulators.

• Good negotiating skills with modelers, internal auditors, and regulators.

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 include competitive compensation and flexible benefits, such as 401(k) program with company-matching contributions, health, dental, vision, life, disability insurance, and paid-time off.

• Leaders who support your development through coaching and managing opportunities.

• Ability to make a difference and lasting impact.

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

• Opportunities to do challenging work.

• Opportunities to build close relationships with clients.

The expected salary range for this particular position is $120,000-$200,000 (New Jersey), depending on your experience, skills, and registration status, market conditions and business needs.

You have the potential to earn more through RBC's discretionary variable compensation program which gives you an opportunity to increase your total compensation, provided the business meets its performance targets and you meet your individual goals.

RBC's compensation philosophy and principles recognize the importance of a highly qualified global workforce and plays a critical role in attracting, engaging and retaining talent that:

• Drives RBC's high-performance culture

• Enables collective achievement of our strategic goals

• Generates sustainable shareholder returns and above market shareholder value

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Additional Job Details

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

Our Employment Opportunities

At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One 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.

RBC is presently inviting candidates to apply for this existing vacancy. Applying to this posting allows you to express your interest in this current career opportunity at RBC. Qualified applicants may be contacted to review their resume in more detail.