Associate Director, Quantitative Risk Analytics

Job Description

What is the Opportunity?

GRA (Global Risk Analytics) Market Risk Methodology team has primary responsibility for risk methodologies related to the measurement of market risk for RBC trading business and selected investment portfolios. This includes leading the methodology specifications, prototype implementation, as well as performance monitoring and maintenance of these methodologies.

The team is also responsible for market data and scenarios services to various risk systems.

The Associate Director is responsible for methodologies related to market risk management. The primary responsibilities include developing quantitative risk models for Value at Risk (VaR) and stress testing purpose for various product types and portfolio, implementation, documentation, performance monitoring and presenting of these methodologies to related committee.

What will you do?

• Develop model prototyp...