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Associate Director, Stress Testing Analytics
RBC Financial Group
New York, NY, United States
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What is the opportunity?
This position will be part of a modeling team developing the methodologies used to estimate loan losses in the RBC wholesale portfolios for the purposes of Enterprise Wide Stress Testing (EWST), US Comprehensive Capital Analysis and Review (CCAR) and IFRS9 compliance. The position will focus primarily on the development of PD/LGD and/or other econometric models for the commercial real estate (CRE) portfolio, with the opportunity for interested individuals to work in other relevant areas; such as corporate, retail risk, and operational stress testing models.
We are a fast growing group within RBC Group Risk Management that assesses and aggregates all main risks in the bank from an enterprise wide perspective. We are looking for an experienced modeller to become a key contributor in the development of our quantitative methodologies. We are a team that prides itself for high quality work with significant impact across the bank and continuous interaction with other groups, senior management and regulators. Given the nature of our work, the opportunity to learn, grow and expand your network is significant.
What will you do?
• Development of methodologies used to estimate loan losses in the RBC wholesale loan portfolios (commercial real estate, corporate, commercial and industrial); including model design, calibration and monitoring performance. The models will be used for EWST, CCAR, IFRS9 compliance and other stress testing applications.
• 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.
• Wide scope for growth in other risk areas for the interested individuals. We tailor projects to the needs of RBC and the interests of team members. The scope of our group is wide. We are responsible for the stress testing program of the bank at the consolidated level, including business level reviews. We also develop, oversee or challenge stress testing methodologies for different risk types; such as retail credit risk, operational risk, PPNR and liquidity (among others).
What do you need to succeed?
Must-have
• 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.
• Strong conceptual, analytical, and problem solving skills.
• Knowledge of corporate, commercial, and commercial real estate portfolios, including loan forecast or stress testing methodologies.
• Knowledge on credit risk methodology, including Basel parameter estimation and/or credit/market stress testing models.
• 3+ years of relevant business experience in risk management groups within the financial industry. Other business experience will be considered based on applicability.
• 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
• Ability to communicate, verbally and in writing, complex concepts to a non-technical audience.
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, competitive compensation
• 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
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: