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Associate Director - Quantitative Methodology
RBC Financial Group
New York, NY, United States
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What is the opportunity?
The Associate Director of Quantitative Methodology supports methodologies related to market risk for trading book products.
This includes leading the specification, implementation, performance monitoring and maintenance of these methodologies.
What will you do?
Methodology Development and Documentation
• Support market risk methodology development and implementation for trading products, including vanilla bond, agency MBS, ABS, CLO, CMBS and RMBS. Market risk methodologies include, but not limited to, VaR and SVaR models based on historical method, as well as Risk Not in VaR and Risk Not in Stress, as well as Market Risk RWA projection.
• Be familiar with pricing models for vanilla bond, Agency MBS, ABS, CLO, including multi-factor interest rate model, prepayment model etc.
• Know vendor system and data for trading products, such as Polypaths, CDO net, Markit.
• Provide risk modeling transparency . This is primarily facilitated by the completion of significantly enhanced documentation for the risk models that will satisfy the emerging regulatory expectations (for example, SR-11-7 guidelines published by the Fed).
Methodology Maintenance and Monitoring
• Remediate model issues from internal validation, internal audit as well as external regulators
• Re-submit model white papers on regular basis with portfolio and model features update
• Maintenance the existing models. This includes ensuring adequate review of the assumptions on an ongoing basis, timely calibration of the models and monitoring of model limitations. This also may include benchmarking against other alternatives, taking appropriate actions as informed from the model performance tracking and/or the independent review performed by the Enterprise Model Risk Management group.
Coordinate with internal stake holders and external regulators
• Work with local market risk and front office to coordinate and resolve model related issues for market risk methodologies of trading products.
• 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 the 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 in order to comply with the Regulatory expectations.
• Interact with regulators regarding methodology analysis for market risk. Provide comprehensive explanation of the VaR and SVaR results to the risk managers and senior management.
What do you need to succeed?
Must-have
• Required: Masters in Financial, Engineering or equivalent
• PhD in Finance, Engineering or Applied Sciences.
• Extensive experience in the financial markets focused on quantitative modeling in securitized products.
• Experiences and knowledge of regulatory requirements under market risk rules.
• Good product knowledge across fixed income, equity and derivative instruments.
• Excellent knowledge of trading and investment banking.
Nice-to-have
• Quantitative modeling skill in trading products.
• 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.
• Good negotiating skills with business 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 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.
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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.