Associate Director, Credit Risk Measurement

Royal Bank of Canada

Toronto, Ontario, Canada

10d ago

What is the opportunity?

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The Associate Director, Credit Risk Measurement will be responsible for the on-going implementation and maintenance of IFRS 9 for the consolidated bank, a systems implementation driven by RBC’s banking book that has a material impact on quarterly earnings.

You will be responsible to ensure the development of an effective IFRS 9, CCAR, MST and EWST measurement platform, which will be in compliance with IFRS 9 standards as well as applicable current expected credit loss (CECL) standards under US FASB accounting rules.

As a senior member of the team, this role assists senior management and the Board in understanding critical measurement issues, and lead the model implementation team.

The incumbent will also assist in technical solutions related to stress testing, including high-priority US CCAR implementation.

What will you do?

Assists all measurement aspects associated with the implementation and maintenance of an IFRS 9, CCAR and EWST allowance for credit loss platform.

Executing GL posting process for IFRS 9

Perform stress test analyses and analyze results for communication to senior management, with focus on business and risk implications.

Responsible for the IFRS9 ECL calculation for RBC’s balance sheet.

Responsible for the CCAR ECL calculation of RBC’s US portfolio and generating relevant reporting for the Federal Reserve.

Proactively identify risks and vulnerabilities to guide future model implementation, and assist with specification and development of stress analyses.

Supports the Director, Credit Risk Measurement, with responsibilities related to the IFRS 9 and CCAR credit projection and aggregation processes, and assists in the documentation of IFRS 9 protocols to ensure compliance with appropriate governance standards.

Leverage the value in unit, department, and enterprise wide teams to develop better solutions and achieve a cross enterprise mindset.

What do you need to succeed? Must-have

5+ years of analytical experience with a financial institution. Other industry experience will be considered based on applicability.

Knowledge on credit risk methodology

Advanced understanding of credit portfolios, limits monitoring systems, regulatory capital systems, and financial databases and general ledge accounting processes

Exposure to more than one of the following risk methodology areas is an asset : capital markets and trading, credit risk, structural interest rate risk, liquidity risk, and Basel capital measures

Proficiency in SAS and Python. Knowledge of a least two statistical / numerical software; such as SAS, R, Matlab and / or Stata

Strong conceptual, analytical, and problem solving skills. Excellent process management, communication, and coordination skills

Nice-to-have

Familiarity with RBC’s existing data and infrastructure

Self-initiated & self-starter with a strong work ethic

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, competitive compensation

A comprehensive Total Rewards Program including bonuses and flexible benefits and competitive compensation

Leaders who support your development through coaching and managing opportunities

Work in a dynamic, collaborative, progressive, and high-performing team

Opportunities to do challenging work

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