Senior Director, ALM Research & Analytics

RBC; Toronto; On-site; CAD 140,000 - 230,000; Full time

Benefits offered by this job

Total rewards program

Flexible benefits

Career development

Job summary

RBC seeks a senior ALM leader to drive quantitative modelling, risk measurement and analytics for the bank's structural interest rate risk and related products.

The role includes leading model development, validation, and governance, collaborating with Finance, Treasury, and Pension groups, and guiding a high performing team in a fast‑paced, global banking environment.

Qualifications

• Graduate degree in a quantitative field such as financial engineering, mathematics, engineering, or economics.
• 10+ years related experience with a strong grasp of ALM practices.
• Strong understanding of banking book dynamics, product characteristics, and risk concepts.

Responsibilities

• Lead research, methodology and model development relating to structural interest rate risk and related models.
• Develop and implement hedging programs for retail banking products and securitization initiatives.
• Collaborate with Finance and Treasury to align ALM risk measurement with performance management systems.
• Lead the model validation process and governance for IRRM team.
• Interface with senior executives across the organization on ALM topics.

Skills

ALM modelling

Leadership

Econometrics

Risk management

Financial modelling

Communication

Stakeholder management

Quantitative analysis

Education

Graduate degree in quantitative field

Tools

QRM or similar

SQL

Job description

What is the opportunity?

Lead RBC Corporate Treasury's quantitative ALM methodology development, modelling, research and analytics, focusing on interest rate risk measurement and management. Lead development of behavioral and market risk models, supporting pricing and risk measurement for non-trading on-balance sheet products, mortgage and loan commitments, securitization, and term funding. Interest rate risk represents the bank’s largest structural book market risk, with effective measurement and management critical for shareholder value preservation. The team you’ll lead also supports RBC’s Pension Investment Group modeling and measurement, across a diverse set of asset classes, strategies, and ALM topics.

What will you do?

• Lead research, methodology and model development relating to structural interest rate risk, consumer behaviour econometric modeling and forecasting (e.g., prepayment, redemption, pull through, product flows, term / mix preferences), economic capital models, balance sheet dynamics, and retail product and embedded option pricing models, in RBC’s domestic and international banking book balance sheets


• Lead development of diffusion, historic simulation, factor models, and deposit rate models in support of pricing, valuation, and risk measurement including economic capital, economic value and net interest income risk


• Lead and / or collaborate in development and implementation of tools and disciplines to monitor, analyze and identify ALM risks, as required


• Collaborate in development of hedging programs for retail banking product initiatives and campaigns, including mortgage, funding and securitization initiatives


• Liaise with regulatory bodies to explain ALM models and parameters, and their performance, as required


• Support pension investment, ALM, and risk measurement processes via development of requisite models, tools and analytics


• Lead CT's model validation process with GRM, including collaborating with GRM to ensure effective model risk controls and governance, and managing IRRM team's model inventory and behavioural assumption assessment and monitoring schedule


• Collaborate with Finance and Treasury partners to ensure alignment of ALM risk measurement, FTP, and financial performance management systems, as required


• Explore and develop new techniques and approaches, including use of AI in ALM and model development


• Lead and develop a team of high performing ALM modelling experts, providing ongoing staff direction, goal setting, and coaching

What do you need to succeed?

Must-have:

• Graduate degree in a quantitative field such as financial engineering, mathematics, engineering, or economics


• 10+ 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 & commercial banking products


• Solid understanding of financial principles and risk concepts, including financial modelling and engineering, pricing models, econometrics, and fixed income mathematics


• Strong team management and coordination skills, ensuring accountability while fostering a positive, collaborative, and high-performing environment


• Strong communication and negotiation skills


• Well-organized and detail oriented, with ability to tailor analysis to required precision (i.e. 80/20 solutions) or attend to details, as needed


• Strong understanding of applicable regulatory guidelines and accounting principles, and related systems

Nice-to-have:

• CFA and / or FRM designations, or equivalent


• Strong data and database skills, including SQL


• 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


• Leaders who support your development through coaching and managing opportunities


• Ability to make a difference and lasting impact


• Work in an agile, collaborative, progressive, and high-performing team


• The opportunity to interface with senior level executives from many different parts of the organization

Job Skills

Cash Management, Financial Regulation, Financial Services Industry, Knowledge Organization, Office Operations, Operational Risks, Risk Management, Standard Operating Procedure (SOP), Strategic Thinking, Treasury Management

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.