Associate Director, Market Risk (FRTB Capital)

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

Benefits offered by this job

Total Rewards Program

Job summary

RBC is seeking an Associate Director, Market Risk (FRTB Capital) to lead regulatory reporting under Basel 3 Endgame, delivering FFIEC 102, weekly FRTB capital reports, and CCAR Market RWA projections. You will automate workflows, partner with IT on data pipelines, and drive SA/IMA calculator enhancements across desks.

The role requires 5+ years in market risk reporting, strong Python/SQL skills, and a proven track record of production-grade regulatory submissions.

Qualifications

• 5+ years of market risk reporting or regulatory capital experience.
• Advanced proficiency in Python, SQL and Excel for data manipulation and automation.
• Experience with BI tools to translate data into actionable insights.

Responsibilities

• Lead design and production of Market Risk regulatory reports under B3EG (FFIEC 102, FRTB weekly reports, CCAR Market RWA projections).
• Collaborate with IT and analytics teams on SA/IMA calculator enhancements and data pipelines.
• Maintain FR Y-9C reconciliation framework and perform data analysis across risk exposures and reporting datasets.
• Design controls automation, validation checks and alerting to improve data quality and reduce manual intervention.
• Assess IMA impact, conduct desk-level feasibility, and compare IMA vs SA by desk.
• Develop comprehensive reporting documentation and support regulatory examinations.

Skills

Python

SQL

Excel

Data analysis

Education

Bachelor's degree in finance, engineering, mathematics

Tools

Tableau

OBI

Job description

Job Description

What is the Opportunity?

The Associate Director, Market Risk (FRTB Capital) will play a pivotal role in building and leading RBC's market risk regulatory reporting infrastructure under the Basel 3 Endgame (B3EG) framework. The individual will architect end-to-end production of critical US IHC regulatory submission including the FFIEC 102 (weekly FRTB capital reporting), FR Y-9C Risk-to-Finance reconciliations, and CCAR Market RWA projections for FRY-14A. This high-impact role offers ownership over establishing automated reporting workflows, partnering with IT on system implementations and data pipeline enhancements, and driving strategic initiatives such as FRTB calculator improvements and IMA vs. SA approach analysis. The ideal candidate brings 5+ years of market risk reporting or regulatory capital experience, strong technical capabilities in Python and SQL, and a track record of delivering accurate regulatory submissions in production environments.

What will you do?

• Lead the design, implementation, and ongoing production of Market Risk regulatory reports under B3EG, including the FFIEC 102 and weekly FRTB capital reports and CCAR Market RWA 9-quarter projections; establish automated reporting views and dashboards to support granular schedule-level reporting - 25%.
• Partner with IT and Group risk Analytics team on FRTB Standardized Approach (SA) calculator enhancements for jurisdictional changes, system implementations, and data pipeline automation; coordinate UAT testing, production validation and reporting infrastructure improvements - 20%-.
• Build and maintain the Risk-to-Finance reconciliation framework (FR Y-9C), perform comprehensive data analysis across market risk exposures, capital calculations, and reporting datasets; including root-cause analysis of breaks and develop automated reconciliation tools and validation checks- 20%.
• Design and implement controls automation solutions for reporting and capital calculation processes; build automated validation checks, exception monitoring tools, and alerting mechanisms to enhance data quality, control effectiveness, and reduce manual intervention - 15%.
• Conduct FRTB Internal Models Approach (IMA) impact analysis and desk-level feasibility assessments; collaborate with trading desks and modelling teams to evaluate capital benefits, backtesting performance, and P&L attribution requirements; provide recommendations on optimal approach selection (IMA vs. SA) by desk - 10%.
• Develop and maintain reporting documentation including data lineage, process flows, line-item mapping, and methodology descriptions; monitor regulatory developments, participate in FRB data collection exercises (e.g., HPE/QIS), and support internal audit, RCSA, and regulatory examination processes - 10%.

What do you need to succeed?

• Bachelor's degree in finance, Engineering, Mathematics, or related quantitative discipline; advanced degree preferred.
• 5+ years of experience in market risk management at a financial institution with hands-on involvement in regulatory reporting and FRTB implementation.
• Deep understanding of market risk capital frameworks (Basel III/IV, FRTB SA/IMA approach) and associated regulatory reporting requirements.
• Proven experience designing and maintaining reconciliation frameworks between risk systems and general ledger/finance platforms; ability to identify, investigate and resolve complex data breaks.
• Advanced proficiency in data analysis and automation using Python, SQL, and Excel to manipulate large-scale datasets, build validation tools and streamline reporting workflows.
• Hands-on experience with Business Intelligence and reporting tools (Tableau, OBI, or equivalent) and market risk systems; ability to translate data into actional insights through dashboard and visualizations.
• Excellent written and verbal communication skills with demonstrated ability to synthesize complex regulatory and technical concepts for senior management and regulators, and cross-functional stakeholders.
• Ability to manage recurring production processes under tight weekly deadlines while maintaining accuracy and completeness.
• Autonomous, highly motivated, and able to work independently and collaboratively in a fast-paced environment.

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 competitive compensation and flexible benefits, such as pension/retirement savings plans, health, dental, vision, life, disability insurance, and 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.
• Opportuni