Associate Director - Model Risk

About this role

<div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><div><p style="text-align:left"><b><u>Job Description</u></b></p></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div></div><p><b>What is the Opportunity?</b></p><p>The US Enterprise Model Risk Management (EMRM) under RBC’s Group Risk Management (GRM) mainly performs the second line of defense role for RBC’s Combined US Operation (CUSO) model risk at the enterprise level.</p><p></p><p>As Associate Director of US EMRM, the person will work closely with model stakeholders to independently validate various mathematical/statistical models used by RBC, especially for US products and CCAR purpose, The person will also act as an effective challenger to model developers and users on all matters pertaining to risk modeling requirements.</p><p></p><p>The validation scope of this role includes various US securitized products, such as Agency RMBS, Non-Agency RMBS, CMBS, ABS, and CLO, and Whole Loans. Related models include prepayment and default, credit rating, pricing, risk calculation, and Value at Risk (VaR).</p><p></p><p><b>What will you do?</b></p><ul><li><p>Perform full model validation, including employing various quantitative and qualitative techniques to review, test, replicate, challenge, benchmark and assess model risk.</p></li><li><p>Perform ongoing model reviews per RBC’s Enterprise Model Risk Management policy, such as periodic Annual Assessment review, finding remediation, Ad-hoc model update, and system release.</p></li><li><p>Compile comprehensive reports summarizing key observations, conclusions, and recommendations in support of various model review results.</p></li><li><p>Coordinate with model stake holders, like modelers

Apply for this role on Royal Bank of Canada’s official careers site.