Director ALM Analytics and Applied Research

rbc; Toronto; On-site; CAD 150,000 - 210,000; Full time

Benefits offered by this job

Bonuses and flexible benefits

Stock where applicable

World-class training program

Flexible work-life balance options

Job summary

RBC in Toronto is seeking a Director, ALM Analytics & Applied Research to lead the research, simulation, and forecasting of the Canadian banking balance sheet and income statement for IRRBB measurement and stress testing.

The role emphasizes econometric modeling, fixed income valuation, and scalable data management, with governance and model validation responsibilities. You will collaborate across teams to develop AI-enabled tools and robust risk models while ensuring regulatory alignment.

Qualifications

• Graduate degree in a quantitative field such as financial engineering, mathematics, statistics, or economics.
• 7+ years related experience with a strong grasp of ALM practices.
• Understanding of banking book balance sheet dynamics, product characteristics, client behaviour, and balance sheet flows, with focus on retail banking products.
• Solid understanding of financial principles and risk concepts, including financial modelling and engineering, pricing models, econometrics, and fixed income mathematics.
• Excellent capabilities in statistical and analytical principles, tools, and techniques.
• Strong understanding of applicable regulatory guidelines and accounting principles, and related systems.
• Strong communication and negotiation skills.
• Well-organized and detail oriented, with ability to tailor analysis to the required level of precision.

Responsibilities

• Simulate and forecast Canadian Banking balance sheet and income statement under stress.
• Develop econometric models for forecasting cashflows of RBC banking book positions used for IRRBB measurement.
• Design, develop, and implement robust financial risk, valuation, and forecast models within RBC's QRM risk engine.
• Conduct research and analytics pertaining to model inputs and assumptions, ensuring correct model use and governance requirements.
• Evaluate internal and external data to understand balance sheet dynamics, product characteristics, client behaviour, and balance sheet flows with focus on retail banking products.
• Lead and perform end-to-end modelling responsibilities, including data quality checks, model performance tracking, and documentation.
• Maintain model governance, model documentation, model inventory, and process mapping requirements.
• Leverage industry practices including use of AI to develop internal tooling for risk methodologies, stress testing, and projections.
• Consider, understand, and evaluate general ledger, accounting and finance, and regulatory reporting processes related to IRRBB.
• Perform ad hoc scenario analysis in support of balance sheet IRRBB hedging with cross-functional collaboration.

Skills

Analytical thinking

Analytics

Applied research

Balance sheets

Critical thinking

Datasets

Decision making

Financial modeling

Education

Graduate degree in quantitative field

Tools

QRM risk engine

Job description

Job Description

WHAT IS THE OPPORTUNITY?

Director, ALM Analytics & Applied Research is responsible for research, simulation, and forecasting of RBC's Canadian banking balance sheet and income statement for the purpose of measuring stress exposure, in support of the Bank's Asset Liability Management, IRRBB metrics, and stress testing. The role focuses on econometric modeling of client behaviour assumptions for retail banking products, with strong emphasis on statistics, fixed income valuation modeling, and database management. Responsibilities include applied research relating to behavioural options in retail banking, risk and simulation model development, design input and output criteria, model performance evaluation, model and assumption documentation, process design, and econometric research related to dynamic forecasting assumptions.

WHAT WILL YOU DO?

• Simulate and forecast Canadian Banking balance sheet and income statement under stress scenarios for purposes of IRRBB risk measurement.
• Develop econometric models for forecasting purposes to project cashflows of RBC banking book positions used for IRRBB measurement, using internal and external time series and panel data sets; maintain strong database extract, transform, and load capabilities; and leverage industry, economic, and market information to improve model intelligence through liaison with internal and external resources.
• Design, develop, and implement robust financial risk, valuation, and forecast models within RBC's QRM risk engine.
• Conduct research and analytics pertaining to model inputs and assumptions, ensuring correct model use and governance requirements.
• Evaluate internal and external data to understand balance sheet dynamics, product characteristics, client behaviour, and balance sheet flows with focus on retail banking products.
• Lead and perform end-to-end modelling responsibilities, including process evaluation of data quality, model performance tracking, ensuring consistency across models employed for forecasting and stress testing, and maintaining clear documentation of approach, methodologies, and processes.
• Maintain requisite model governance, model documentation, model inventory, and process mapping requirements. Ensure efficient and effective model risk and compliance management, including performance of regular model validation submissions and model finding remediations.
• Leveraging industry best practices including use of AI, develop and implement an internal toolkit for assessing hypotheses and mathematical models behind applied and proposed risk methodologies, stress testing, and projections.
• Consider, understand, and evaluate general ledger, accounting and finance, and regulatory reporting processes, as they relate to IRRBB measurement, management, and modelling.
• Perform ad hoc scenario analysis in support of balance sheet IRRBB hedging, with high degree of interaction with business units to promote business segment review, challenge, and alignment.

WHAT DO YOU NEED TO SUCCEED?

Must-have:

• Graduate degree in a quantitative field such as financial engineering, mathematics, statistics, or economics.
• 7+ years related experience with a strong grasp of ALM practices.
• Understanding of banking book balance sheet dynamics, product characteristics, client behaviour, and balance sheet flows, with focus on retail banking products.
• Solid understanding of financial principles and risk concepts, including financial modelling and engineering, pricing models, econometrics, and fixed income mathematics.
• Excellent capabilities in statistical and analytical principles, tools, and techniques.
• Strong understanding of applicable regulatory guidelines and accounting principles, and related systems.
• Strong communication and negotiation skills.
• Well-organized and detail oriented, with ability to tailor analysis to the required level of precision.

Nice-to-have:

• CFA and/or FRM designations, or equivalent.
• Prior exposure to ALM risk engine platforms and software (e.g., QRM or similar).

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
• Work in a dynamic, collaborative, progressive, and high-performing team
• A world-class training program in financial services
• Flexible work/life balance options
• Opportunities to do challenging work

Job Skills

Analytical Thinking, Analytics, Applied Research, Balance Sheets, Critical Thinking, Datasets, Decision Making, Financial Reg