Senior Enterprise Model Risk Validator

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

Benefits offered by this job

Total rewards program

Coaching & development opportunities

Dynamic, collaborative team

Challenging work

Flexible work arrangements

Job summary

RBC is seeking a Senior Analyst in Enterprise Model Risk Management in Toronto to validate credit-related capital markets models used for pricing, regulatory reporting, and risk management. The role focuses on identifying material model risk issues and offering technical solutions and monitoring frameworks.

You will work with Market Risk, Finance, and Global Valuations to address model limitations and ensure robust validation processes in a fast-paced environment.

Qualifications

• Graduate degree in a quantitative area such as Mathematics, Physics, CS, Engineering, Finance, or Economics.
• Strong knowledge of derivative pricing models and risk management methodologies.
• Experience with Monte Carlo simulation and numerical/analytic PDE techniques.
• Strong programming skills in C/C++ and Python.
• Excellent communication and interpersonal skills.

Responsibilities

• Take ownership of assigned models to provide effective testing and oversight of model risk.
• Deliver validation reports, technical documents, and testing code and tools.
• Streamline and automate validation tests where feasible.
• Identify model limitations and streamline inconsistencies for management.
• Consult with Market Risk, Finance, and Global Valuations on technical model issues.

Skills

C/C++

Python

Derivative pricing

Monte Carlo simulation

Communication skills

Education

Graduate degree in quantitative field

Job description

RBC is seeking a Senior Analyst in Enterprise Model Risk Management in Toronto to validate credit-related capital markets models used for pricing, regulatory reporting, and risk management. The role focuses on identifying material model risk issues and offering technical solutions and monitoring frameworks.

You will work with Market Risk, Finance, and Global Valuations to address model limitations and ensure robust validation processes in a fast-paced environment.