Associate Director, Counterparty Credit Risk Models, Global Risk Analytics

rbc; Toronto; On-site; CAD 120,000 - 180,000; Full time

Benefits offered by this job

Total rewards

Bonuses

Flexible benefits

Stock options

Job summary

Royal Bank of Canada is seeking an Associate Director, Counterparty Credit Risk Models within Group Risk Management. You will design, develop, and maintain mathematical models measuring CCR for RBC's derivative and SFT portfolio, ensuring rigorous methodologies and integrity for effective risk management.

You will collaborate with model users, perform regulatory reviews, and deliver production-ready implementations while documenting methodologies and coordinating validation and governance

Qualifications

• Strong analytical and problem solving skills.
• Understanding of regulatory requirements and industry best practices for CCR.
• Excellent English communication, both written and verbal.

Responsibilities

• Understand business requirements from model users.
• Research regulatory requirements and industry practices for CCR modeling.
• Recommend model methodologies and develop production-ready implementations.
• Provide technical specifications and validation criteria to tech teams for deployment.
• Document model methodologies, details, and testing results with internal validation.
• Develop tools to monitor model performance and report to governance committees.
• Investigate and remediate modeling issues from re-reviews and monitoring.
• Recalibrate models regularly and benchmark against alternatives.

Skills

Analytical skills

Regulatory knowledge

English communication

Team collaboration

Python programming

SQL

Excel

Tools

Python

SQL

Excel

Job description

What is the opportunity?

As part of the Group Risk Management team, the Associate Director, Counterparty Credit Risk Models is responsible for the conceptual design, development, and ongoing maintenance of the mathematical models used for the measurement and capitalization of the counterparty credit risk of RBC's derivative and SFT portfolio. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's CCR.

What will you do?

• Work with model users to understand their business requirements.


• Conduct research, review regulatory requirements and consult with industry stakeholders to evaluate best practices for modeling.


• Make recommendations on model methodologies, and develop technical implementation, either for production usage or to serve as a prototype for benchmark testing.


• Provide business requirements with technical implementation details and user acceptance criteria to technology teams for production deployment, and validate implementation using independently developed benchmark models.


• Document model methodologies, implementation details and testing results, and work with internal validation to facilitate the approval of the models.


• Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.


• Investigate and remediate modeling issues identified through regular re-reviews, ongoing monitoring or by internal validation.


• Recalibrate models on a regular basis.


• Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.

What do you need to succeed?

• Broad knowledge of traded products across various asset classes.


• Understanding of regulatory requirements and industry best practices for the measurement and management of counterparty credit risk.


• Strong analytical and problem solving skills.


• Excellent programming skills (e.g., Python).


• Strong data management and analysis skills (e.g. SQL and Excel).


• Ability to work collaboratively to achieve team goals.


• Agility to adapt to changing circumstances in a dynamic environment.


• Strong English communication skills, both written and verbal, especially in the explanation of complex modeling concepts to senior management 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, commissions, and stock where applicable.


• Leaders who support your development through coaching and managing opportunities.


• Ability to make a difference and lasting impact.

Additional Job Details

Address: ROYAL BANK PLAZA, 200 BAY ST

City: Toronto

Country: Canada

Work hours/week: 37.5

Employment Type: Full time

Platform: GROUP RISK MANAGEMENT

Job Type: Regular

Pay Type: Salaried

Posted Date: 2026-07-20

Application Deadline: 2026-10-24 (Applications will be accepted until 11:59 PM on the day prior to the application deadline date above)

Our Employment Opportunities

At RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One RBC. We believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.