The Associate Director, Model Development is responsible for developing the methodology associated with the on-going implementation and maintenance of IFRS 9 for RBC Caribbean Banking. The primary purpose of this role is to develop IFRS9 credit risk and stress testing models and ensure the models meet regulatory requirements and allow for a holistic examination of bank vulnerabilities. Compliance with IFRS9 standards and internal policies is required.
The incumbent will also help the team streamline processes and support other functions such as data governance and reporting. You will also assist senior management and the Board in the understanding of impaired losses and the underlying risk in the portfolio.
What will you do?
Assist the Director developing IFRS9 and stress testing loan loss provisioning methodologies for wholesale and retail loan portfolios. Support researching, building, calibrating and documenting IFRS9 credit risk and stress testing models. Also, ensure the models meet regulatory requirements and allow for a holistic examination of bank vulnerabilities. Help designing and implementing the model monitoring framework.
Assist other work streams, such as Data Governance and Regulatory Reporting on tasks related to data exploration, data gathering, cleaning, data aggregation, data reconciliation for data coming from multiple data sources and process automation.
Liaison with stakeholders - including senior management, model validation and audit - on topics related to modeling design and results.
Design and oversight of controls around historical modeling datasets. SME on credit methodologies.
Ensure tailored approaches to timelines and data availability, utilizing detailed or 80/20 solutions, and quantitative and/or qualitative approaches, as appropriate.
Develop ad-hoc stress test analyses as requested by management or regulators.
Keep abreast of academic research, industry and regulatory practices with respect to stress testing modelling. Participate in industry conferences, studies and surveys of best stress testing practices.
Comply with all bank policies including SOX controls as appropriate
What do you need to succeed?
5+ years of analytical experience with a financial institution with significant exposure to predictive modeling and advanced analytics using statistics and/or machine learning. Other industry experience will be considered based on applicability. Advanced knowledge and experience in credit risk methodologies and predictive models.
Ability to manage complex and challenging processes. In this position, you will develop models for wholesale and retail portfolios across the Caribbean; currently involve 17 countries, 14 banking entities, 4 products and 7 operating currencies. Historical data can be in some cases limited, hence quantitative and qualitative approaches will be relevant.
Strong conceptual, analytical, and problem solving skills.
Knowledge of a least two statistical/numerical software, such as: SAS, R, Python, C++, Matlab, VBA, Stata and/or E-Views (among others). Knowledge of databases structure and management (SQL, SAS, Hive, etc.)
Interest in working with data: data gathering, analyzing, aggregating and automating different data-related activities
Graduate degree in a quantitative discipline such as statistics, mathematics, math finance, economics, physics, engineering and/or a relevant professional qualification, with concentration in quantitative methods.
Working knowledge of Caribbean Banking.
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.
Familiarity with RBC's existing data and infrastructure.
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
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
Internal Number: 6284390
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