Manager – Enterprise Model Risk Management
| Company | Royal Bank of Canada |
|---|---|
| Location | Toronto, ON, Canada |
| Salary | $Not Provided – $Not Provided |
| Type | Full-Time |
| Degrees | Master’s |
| Experience Level | Senior |
Requirements
- Graduate degree in a quantitative discipline such as math, statistics, engineering, computer science, financial engineering, etc.
- Expert in statistical modelling with a solid understanding of the theory behind applications.
- Great analytical and critical thinking skills to effectively challenge a model
- Experience in working with programming languages (SAS and Python)
Responsibilities
- Engage model builders, model users and related functional group personnel as necessary in order to proactively assess document, and independently validate mathematical models and their usage by the bank.
- Conduct model validations through reviewing data, conceptual soundness, implementation, outcome analysis, etc.
- Replicate model based on white paper, build alternative models for benchmarking, and conduct sensitivity analysis and stress testing, etc.
- Communicate issues and recommendations to the model owners; clearly document tests performed and results.
- Ensure that model users adhere to RBC model risk policy.
Preferred Qualifications
- Experience working with large dataset to build credit risk models (PD, LGD, EAD, ECL).