Director, Counterparty Credit Risk Models, Global Risk Analytics

Skillhub Solutions Inc.; Toronto; On-site; CAD 140,000 - 230,000; Full time

Job summary

Royal Bank of Canada in Toronto, Ontario, is seeking a Director to lead a team designing, developing, and maintaining mathematical models for measuring counterparty credit risk across derivatives and securities financing. The role requires strong leadership, advanced quantitative skills in Python/SQL/Excel, and a deep understanding of regulatory requirements and industry practices.

You will collaborate with business users and governance committees to ensure robust model implementation and

Qualifications

• Broad knowledge of traded products across asset classes and an understanding of counterparty credit risk measurement, regulation, and industry practices.
• Strong analytical, programming, data management, and analysis skills, including Python, SQL, and Excel.
• Experience managing a team and communicating complex modeling concepts to senior management and regulators.

Responsibilities

• Lead design, development, and maintenance of mathematical models measuring counterparty credit risk.
• Collaborate with model users to understand requirements and regulatory practices; develop implementations or prototypes.
• Provide requirements to technology teams and validate production implementations using benchmark models.
• Document methodologies, implementations, and test results; support model approval with internal validation.
• Develop tools to monitor model performance, assumptions, and limitations for governance reporting.
• Investigate and recalibrate models, conduct periodic model reassessments and benchmarking.

Skills

Trading products knowledge

Counterparty risk knowledge

Leadership communication

Education

MS in Financial Engineering

Tools

Python

SQL

Excel

Job description

Royal Bank of Canada

Toronto, ON Full-time Salary not specified

As part of Group Risk Management, the Director leads a team responsible for designing, developing, and maintaining mathematical models used to measure and capitalize counterparty credit risk across RBC's derivatives and securities financing transactions portfolio.

What you'll do

• Work with model users to understand business requirements and research regulatory requirements and industry practices.
• Recommend model methodologies and develop technical implementations or prototypes for benchmark testing.
• Provide requirements and acceptance criteria to technology teams, then independently validate production implementations using benchmark models.
• Document methodologies, implementations, and test results; work with internal validation to support model approval.
• Develop tools to monitor model performance, assumptions, and limitations, and report to governance committees.
• Investigate and remediate modeling issues, recalibrate models, and conduct regular model reassessments and benchmarking.

What you'll need

• Broad knowledge of traded products across asset classes and an understanding of counterparty credit risk measurement, regulation, and industry practices.
• Strong analytical, programming, data management, and analysis skills, including Python, SQL, and Excel.
• Experience managing a team and communicating complex modeling concepts to senior management and regulators.
• A master's degree in financial engineering or another quantitative field, or a relevant professional qualification, is an asset.

Full-time, salaried role in Toronto, Ontario. Applications are accepted until 11:59 p.m. on the day before the listed application deadline.