Director, Counterparty Credit Risk Models, Global Risk Analytics

RBC; Toronto; Sur place; CAD 180 000 - 240 000; Plein temps

Résumé du poste

RBC is seeking a Director in Counterparty Credit Risk Analytics to lead a team responsible for design, development, and maintenance of mathematical models for CCR across derivatives and SFTs. You will ensure methodologies are sound and implemented with integrity to support risk management for the bank.

You will collaborate with model users, regulators, and technology teams, drive improvements, document processes, and mentor staff while communicating complex concepts to senior leadership.

Qualifications

• Broad knowledge of traded products across asset classes.
• Understanding regulatory requirements for CCR.
• Strong analytical and problem solving skills.
• Excellent programming skills (Python).
• Strong data management and analysis skills (SQL, Excel).
• Ability to work collaboratively to achieve team goals.
• Agility to adapt to changing circumstances in a dynamic environment.
• Experience managing a team.
• Strong English communication skills, both written and verbal.

Responsabilités

• Define model requirements with users and stakeholders.
• Conduct research, review regulatory requirements and consult with industry stakeholders to evaluate best practices for modeling.
• Make recommendations on model methodologies and develop technical implementations.
• Provide requirements with technical details to technology teams for deployment and validate with benchmark models.
• Document model methodologies, implementation details and testing results, coordinating with internal validation.
• Develop tools to assess and monitor model performance and limitations for governance committees.
• Investigate and remediate modeling issues identified during reviews or validation.
• Recalibrate models on a regular basis.
• Reassess and test models with benchmarking and document results for annual reviews.

Connaissances

Analytical skills

Programming: Python

Data management

SQL

Excel

Team leadership

Communication (English)

Collaboration

Adaptability

Formation

Masters in Financial Engineering

Quantitative degree (physics/statistics/math/finance)

Outils

Python

Description du poste

Job Description

What is the Opportunity?

As part of the Group Risk Management team, the Director, Counterparty Credit Risk Analytics leads a team which 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 their 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?

Must Have:

• 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.

• Experience managing a team.

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

Nice-to-Have:

• Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.

What is in it for you?

We thrive on the challenge to be our best, progressive thinking, to keep growing, and working together to build and deliver trusted reporting to help our stakeholders succeed 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

• Ability to make a difference and lasting impact

• Work in a dynamic, collaborative, progressive, and high-performing team

• Opportunities to take on progressively greater accountabilities

Job Skills

Analytical Thinking, Complex Modeling, Counterparty Credit Risk (CCR), Counterparty Risk, Counterparty Risk Management, Financial Engineering, Mathematical Finance, Mathematics Modeling, Model Development, Model Risk, Risk Analytics, Risk Management, Risk Models

Additional Job Details

Address:

ROYAL BANK PLAZA, 200 BAY ST:TORONTO

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:

2026-08-13

Application Deadline:

2026-10-23

Note** : ** 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.

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