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Director, Stress Testing Analytics
RBC Financial Group
Ontario Toronto, , Canada
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What is the opportunity?
Reporting to the Senior Director, Stress Testing Analytics, you will be responsible for the development of methodologies and supporting the calibration of models used to estimate loan losses in the RBC wholesale portfolio (corporate and commercial) for the purposes of Enterprise Wide Stress Testing (EWST), US Comprehensive Capital Analysis and Review (CCAR) and IFRS9 ECL.
What will you do?
• This position is responsible for the development of methodologies used to estimate loan losses in the RBC wholesale portfolio for the purposes of Enterprise Wide Stress Testing (EWST), US Comprehensive Capital Analysis and Review (CCAR) and IFRS9 ECL. The position will focus primarily on the wholesale portfolio (corporate and commercial), with the opportunity for interested individuals to work in other relevant areas; such as retail risk, and operational stress testing models.
• Guide and support the calibration, testing and documentation of the quantitative models.
• Act as a subject matter expert in the areas of methodology, credit risk and statistics.
• Credit Methodology support to our stress testing programs in the US, Canada and Europe, as well as RBC-consolidated.
• Research and benchmark on credit methodologies to ensure we are a leading institution on best practices across the industry
• Document RBC’s credit stress test methodologies, frameworks, and practices.
What do you need to succeed?
Must-Haves
• Graduate degree in a quantitative discipline such as statistics, economics, econometrics, finance, mathematics, physics, engineering and/or a relevant professional qualification, with concentration in quantitative methods.
• 5+ years of relevant business experience in risk management groups within the financial industry.
• Subject matter expert in the areas of methodology, credit risk and statistics.
• Knowledge of corporate, commercial, and commercial real estate portfolios, including loan forecast and stress testing methodologies.
• Knowledge on credit risk methodology, including Basel parameter estimation and/or credit/market stress testing models.
• Knowledge of a least two statistical/numerical software; such as SAS, R, Matlab, VBA, Stata and/or E-Views (among others).
• Knowledge of databases structure and management (SQL, SAS, etc)
• Experience in regression and econometric modeling
• Experience in cleaning, restructuring and merging large datasets
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
• 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
About RBC
Royal Bank of Canada is Canada’s largest bank, and one of the largest banks in the world, based on market capitalization. We are one of North America’s leading diversified financial services companies, and provide personal and commercial banking, wealth management, insurance, investor services and capital markets products and services on a global basis. We have over 80,000 full- and part-time employees who serve more than 16 million personal, business, public sector and institutional clients through offices in Canada, the U.S. and 37 other countries. For more information, please visit rbc.com.
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Inclusion and Equal Opportunity Employment
RBC is an equal opportunity employer committed to diversity and inclusion. We are pleased to consider all qualified applicants for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, age, disability, protected veterans status, Aboriginal/Native American status or any other legally-protected factors. Disability-related accommodations during the application process are available upon request.Posting Notes: N/A