Associate Director, Credit Modeling & Methodology
Top Benefits
About the role
Job Description
What is the Opportunity?
The Associate Director, Credit Modeling & Methodology will lead the development of RBC’s Wholesale Credit Risk Models (IRB, IFRS9, CECL, CCAR, EWST). You will focus on model development, back-testing and the quality of data ingested for modeling borrower risk ratings, credit risk parameters, PD, LGD and EAD and expected credit loss (ECL). You will assist the Director, Credit Modeling & Methodology in the execution and maintenance of tools and processes that support model development and performance monitoring. You will assist Senior Management and the Board in understanding critical parameter estimation issues relating to credit risk measurement.
The team has significant impact across the bank and continuous interactions with other groups and stakeholders, including Senior Management and regulators.
What will you do?
- Model development: Research, develop, test, and deployment of comprehensive credit risk models to support capital management, credit provisioning and stress testing. This involves collecting and cleansing data, conducting the required analytical procedures, reporting on the results, and writing model documentation.
- Data management for modeling: Play a critical role in the development of a robust data infrastructure and variable creation for model development and analytics. Regularly review data sources and structures for changes or enhancements.
- New techniques for model building: Evaluate new techniques for building risk models. Keep up to date on best practices in model building techniques and assist in implementation of the new techniques.
- Model implementation/monitoring: Liaise with other stakeholders to facilitate model approval and implementation; participate in formulating implementation requirements, and conducting pre-implementation testing.
What do you need to succeed?
Must-have
- Master or PhD degrees in a quantitative area such as statistics, mathematics or mathematical finance or engineering and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
- Knowledge and experience with robust data infrastructure of model development and analytics.
- Strong command of the programming language such as Python, SQL, etc.
- Working knowledge of credit risk modeling (IRB, IFRS9, CCAR, CECL and EWST)
- 2+ years of relevant work experience.
- Strong written and verbal communication skills, especially in explanation of complex concepts to a non-technical audience.
- Exceptionally strong conceptual, analytical and problem solving skills.
- Creativity to go beyond current tools to deliver the best solution to the problem.
- Ability to work well in teams
Nice-to-have
- Demonstrated leadership in cross-functional environment
- Expertise in navigating an Enterprise Data Warehouse, experience with Hadoop environments, Python, R or other tools
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
- Leaders who support your development through coaching and managing opportunities
- Ability to make a difference and lasting impact
- Work in an agile, collaborative, progressive, and high-performing team
About RBC
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. Our success comes from the 94,000+ employees who leverage their imaginations and insights to bring our vision, values and strategy to life so we can help our clients thrive and communities prosper. As Canada's biggest bank and one of the largest in the world, based on market capitalization, we have a diversified business model with a focus on innovation and providing exceptional experiences to our more than 17 million clients in Canada, the U.S. and 27 other countries. Learn more at rbc.com. We are proud to support a broad range of community initiatives through donations, community investments and employee volunteer activities. See how at www.rbc.com/community-social-impact.
La Banque Royale du Canada est une institution financière mondiale définie par sa raison d'être, guidée par des principes et orientée vers l'excellence en matière de rendement. Notre succès est attribuable aux quelque 94 000+ employés qui mettent à profit leur créativité et leur savoir faire pour concrétiser notre vision, nos valeurs et notre stratégie afin que nous puissions contribuer à la prospérité de nos clients et au dynamisme des collectivités. Selon la capitalisation boursière, nous sommes la plus importante banque du Canada et l'une des plus grandes banques du monde. Nous avons adopté un modèle d'affaires diversifié axé sur l'innovation et l'offre d'expériences exceptionnelles à nos plus de 17 millions de clients au Canada, aux États Unis et dans 27 autres pays. Pour en savoir plus, visitez le site rbc.com/francais
Nous sommes fiers d'appuyer une grande diversité d'initiatives communautaires par des dons, des investissements dans la collectivité et le travail bénévole de nos employés. Pour de plus amples renseignements, visitez le site www.rbc.com/collectivite-impact-social.
Associate Director, Credit Modeling & Methodology
Top Benefits
About the role
Job Description
What is the Opportunity?
The Associate Director, Credit Modeling & Methodology will lead the development of RBC’s Wholesale Credit Risk Models (IRB, IFRS9, CECL, CCAR, EWST). You will focus on model development, back-testing and the quality of data ingested for modeling borrower risk ratings, credit risk parameters, PD, LGD and EAD and expected credit loss (ECL). You will assist the Director, Credit Modeling & Methodology in the execution and maintenance of tools and processes that support model development and performance monitoring. You will assist Senior Management and the Board in understanding critical parameter estimation issues relating to credit risk measurement.
The team has significant impact across the bank and continuous interactions with other groups and stakeholders, including Senior Management and regulators.
What will you do?
- Model development: Research, develop, test, and deployment of comprehensive credit risk models to support capital management, credit provisioning and stress testing. This involves collecting and cleansing data, conducting the required analytical procedures, reporting on the results, and writing model documentation.
- Data management for modeling: Play a critical role in the development of a robust data infrastructure and variable creation for model development and analytics. Regularly review data sources and structures for changes or enhancements.
- New techniques for model building: Evaluate new techniques for building risk models. Keep up to date on best practices in model building techniques and assist in implementation of the new techniques.
- Model implementation/monitoring: Liaise with other stakeholders to facilitate model approval and implementation; participate in formulating implementation requirements, and conducting pre-implementation testing.
What do you need to succeed?
Must-have
- Master or PhD degrees in a quantitative area such as statistics, mathematics or mathematical finance or engineering and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
- Knowledge and experience with robust data infrastructure of model development and analytics.
- Strong command of the programming language such as Python, SQL, etc.
- Working knowledge of credit risk modeling (IRB, IFRS9, CCAR, CECL and EWST)
- 2+ years of relevant work experience.
- Strong written and verbal communication skills, especially in explanation of complex concepts to a non-technical audience.
- Exceptionally strong conceptual, analytical and problem solving skills.
- Creativity to go beyond current tools to deliver the best solution to the problem.
- Ability to work well in teams
Nice-to-have
- Demonstrated leadership in cross-functional environment
- Expertise in navigating an Enterprise Data Warehouse, experience with Hadoop environments, Python, R or other tools
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
- Leaders who support your development through coaching and managing opportunities
- Ability to make a difference and lasting impact
- Work in an agile, collaborative, progressive, and high-performing team
About RBC
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. Our success comes from the 94,000+ employees who leverage their imaginations and insights to bring our vision, values and strategy to life so we can help our clients thrive and communities prosper. As Canada's biggest bank and one of the largest in the world, based on market capitalization, we have a diversified business model with a focus on innovation and providing exceptional experiences to our more than 17 million clients in Canada, the U.S. and 27 other countries. Learn more at rbc.com. We are proud to support a broad range of community initiatives through donations, community investments and employee volunteer activities. See how at www.rbc.com/community-social-impact.
La Banque Royale du Canada est une institution financière mondiale définie par sa raison d'être, guidée par des principes et orientée vers l'excellence en matière de rendement. Notre succès est attribuable aux quelque 94 000+ employés qui mettent à profit leur créativité et leur savoir faire pour concrétiser notre vision, nos valeurs et notre stratégie afin que nous puissions contribuer à la prospérité de nos clients et au dynamisme des collectivités. Selon la capitalisation boursière, nous sommes la plus importante banque du Canada et l'une des plus grandes banques du monde. Nous avons adopté un modèle d'affaires diversifié axé sur l'innovation et l'offre d'expériences exceptionnelles à nos plus de 17 millions de clients au Canada, aux États Unis et dans 27 autres pays. Pour en savoir plus, visitez le site rbc.com/francais
Nous sommes fiers d'appuyer une grande diversité d'initiatives communautaires par des dons, des investissements dans la collectivité et le travail bénévole de nos employés. Pour de plus amples renseignements, visitez le site www.rbc.com/collectivite-impact-social.