Senior Manager Balance Sheet and Liquidity Risk

What is the opportunity?

The Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team performs the second line of defense role for all balance sheet and liquidity risks at the enterprise level.

As Senior Manager, US BSLR Methodology Governance and Model Validation, you will be responsible for conducting independent oversight of methodologies, parameters, assumptions and models used in the US for measuring banking book interest rate risk and liquidity risk.  

You will act as a trusted advisor and effective challenger to stakeholders on all matters pertaining to BSR methodology, parameter, assumptions and model risk.

What will you do?

• Lead and oversee validation projects by providing guidance and support to junior team members in model validation activities.

• Ensure that RBC’s US Balance Sheet Risk frameworks and policies meet local regulatory requirements and align with business strategies and industry best practices, and that the validation and review activities are in compliance with all the relevant enterprise and local risk policies standards and procedures.

• Perform timely and effective validation of models in scope for US Balance Sheet and Liquidity Risk, including assessment of model methodology, assumptions, and model performance monitoring framework.

• Develop and implement testing models to assess model methodologies and performance. Tests include, but is not limited to, replication, sensitivity, benchmark, outcome, and impact analysis.

• Review model methodologies/assumptions and interpret model outputs to provide insights and recommendations for improvement.

• Prepare and review comprehensive reports that document validation findings and recommendations for management, regulator, and audit reviews.

• Engage the methodology and model owners and users to pro-actively identify, assess, monitor, and manage model-related concerns or issues.

• Ensure that model stakeholders are aware and are compliant with methodology and model risk issues and limitations identified in validation reviews, as well as post-production activities such as performance and limitation monitoring and outstanding issue resolution.

• Manage stakeholder relationships (model and methodology owners / users / model governance / other GRM risk oversight / audit teams) to ensure validation findings and recommendations are appropriately informed by business purpose and context and to facilitate timely clarification of questions regarding model risk roles and responsibilities.

• Create work plans and track progress to ensure that work is being completed in accordance with committed timelines and regulatory deadlines.

• Keep abreast of industry trends and regulatory developments on model risk management in general and on modal validation in particular.

Must-have

• Advanced university degree in a financial or quantitative discipline (such as mathematic, engineering, computer science, physics, statistics, economics, or financial engineering)

• Previous experience in Balance Sheet Management, IRRBB and Liquidity Risk, Policy Oversight as well as knowledge of ALM including understanding complexities of modelling behaviour assumptions.

• Ability to learn quickly and to independently conduct research on best practices in new and unfamiliar modeling areas.

• Have a collaborative mind-set and superb interpersonal skills, verbal and written communication skills.

• Strong computational, analytical and critical thinking skills. Proficient in Excel and other Programming languages.

• Familiarity with QRM software

Nice-to-have   

• Relevant professional designations (CFA, FRM, etc.)

• Deep understanding of bank’s businesses and balance sheet structure

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