Director - Quantitative Risk Analytics

Overview

Job Description

GRA (Global Risk Analytics) Market Risk Methodology team has primary responsibility for risk methodologies related to the measurement of market 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.

The Associate Director is responsible for methodologies related to market risk management. The primary responsibilities include developing quantitative risk models for Value at Risk (VaR) and stress testing purposes for various product types and portfolios, implementation, documentation, performance monitoring and presenting of these methodologies to related committees.

• Develop Value-at-Risk (VaR) models for securitized products, including Agency MBS, MBS Whole Loan, ABS and CLO, Rate locks and Mortgage Service Right (MSR).
• Develop model prototype to implement the methodology or test methodology soundness.
• Remediate model issues from internal validation, internal audit as well as external regulators.
• Investigate issues raised by model users on an ad hoc basis and develop remediation solutions.
• Develop and implement performance monitoring framework for VaR models, including backtesting, assessment of model assumptions/limitations, benchmarking model, etc.
• Conduct model performance monitoring on a regular basis. Summarize the monitoring results into documentation and present results in Model Monitoring Working Group.
• Work with local market risk and front office to coordinate and resolve model related issues.
• Interact with market data team to ensure the accuracy and completeness of the market data used to support the various models. Market data is a key underlying component for all key risk models, and is accordingly a critical area of focus BAU risk management. The work related to market data will involve a significant amount of effort and change to comply with Regulatory expectations.
• Interact with model users and senior management regarding methodology analysis for market risk. Provide comprehensive explanation of the model results to the risk managers and senior management.

Must-have

• 5+ years of working experience in quantitative analytics and people management.
• Master’s in Financial, Engineering, Statistics/Mathematics/Physics or equivalent.
• PhD in Finance, Engineering, Applied Sciences or Economics is a plus.
• Good knowledge of regulatory requirements under statistical regression models, market risk models and regulatory rules. Broad product knowledge across fixed income, equity and derivative instruments.
• Familiarity with securitized product prepayment and default models, interest rate models and pricing models for securitized products.
• Familiarity with U.S. securitized product origination process and secondary trading markets, particularly for Agency MBS, MBS Whole Loan, Mortgage Servicing Rights, etc.
• Above-average oral and written presentation skills.
• Excellent communication and interpersonal skills – ability to present clearly complicated modelling concepts and techniques to senior management and regulators.
• Strong programming experience in Python/C++/C# and SQL.
• Team player 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.

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 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…