Director, Counterparty Credit Risk Models, Global Risk Analytics at Skillhub Solutions Inc. — NeverHard

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. #J-18808-Ljbffr