Associate Director - Model Risk

About the role

The US Enterprise Model Risk Management (EMRM) under RBC’s Group Risk Management (GRM) 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, you will work closely with model stakeholders to independently validate various mathematical/statistical models used by RBC, especially for US products and CCAR purposes. You will act as an effective challenger to model developers and users on all matters pertaining to risk modeling requirements. The validation scope includes US securitized products such as Agency RMBS, Non-Agency RMBS, CMBS, ABS, CLO, Whole Loans, and Leverage Loans. Related models include prepayment and default, credit rating, pricing, risk calculation, and Value at Risk (VaR).

Responsibilities

• 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 updates, and system releases.
• Compile comprehensive reports summarizing key observations, conclusions, and recommendations in support of various model review results.
• Coordinate with model stakeholders, including modelers, market risk, IT, and other related function group personnel, to proactively identify, assess, monitor, and manage model risk and resolve related model issues.

Requirements

• Minimum master’s degree in Finance, Mathematics, Statistics, Engineering, Computer Science, or equivalent.
• 2–5 years of related work experience.
• Good knowledge of credit rating, statistical skills, and market risk background.
• Broad product knowledge across securitized products and the US fixed income area.
• Familiarity with the U.S. securitized product origination process and secondary trading market, particularly for Agency MBS, Whole Loan, Mortgage Servicing Right, and related prepayment and default models, credit rating, and pricing models.

Skills

• Above-average oral and written presentation skills.
• Strong communication and interpersonal skills—ability to clearly present complicated modeling concepts and techniques to senior management and regulators.
• Good negotiating skills with modelers, internal auditors, and regulators.
• Client counseling, competitive markets, critical thinking, financial instruments, financial regulation, investment risk management, long-term planning, quantitative methods, and risk management.

Benefits

• A comprehensive Total Rewards Program including competitive compensation and flexible benefits, such as a 401(k) program with company-matching contributions.
• Health, dental, vision, life, and disability insurance.
• 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 and build close relationships with clients.

Pay

The expected salary range for this position is $120,000–$200,000 (New Jersey), depending on experience, skills, and registration status. You may earn additional discretionary variable compensation through RBC’s program, provided the business meets its performance targets and you meet your individual goals.

Schedule

Full-time, 40 hours per week.

Location: Goldman Sachs Tower, 30 Hudson Street, Jersey City, United States of America.