Rbc
Finance
AssociateDirector,CreditModelingandMethodology
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“Associate Director, Credit Modeling and Methodology at Rbc. Skills: Credit Modeling, Methodology Development, Risk Management. Lead the development of RBC’s Wholesale Credit Risk Models (IRB, IFRS9, CECL, CCAR, EWST).. Focus on model development, back-testing and the quality of data ingested for modeling borrower risk ratings, credit risk parameters, PD, LGD and EAD and expected credit loss (ECL).”
What You'll Achieve.
Deliver trusted advice to help clients thrive and communities prosper.; Achieve success that is mutual.; Make a difference and lasting impact.
Industry & Context.
Exceptionally conceptual, analytical and problem solving skills.; Creativity to go beyond current tools to deliver the best solution to the problem.
What They're Looking For.
Must Have
Master or PhD degrees in a quantitative area such as statistics, mathematics or mathematical finance or engineering and/or a relevant professional qualification, with concentration in quantitative methods and/or finance., Knowledge and experience with robust data infrastructure of model development and analytics., command of the programming language such as Python, SQL, etc., Working knowledge of credit risk modeling (IRB, IFRS9, CCAR, CECL and EWST), 2+ years of relevant work experience., written and verbal communication skills, especially in explanation of complex concepts to a non-technical audience., Exceptionally conceptual, analytical and problem solving skills., Creativity to go beyond current tools to deliver the best solution to the problem., Ability to work well in teams
Nice to Have
Demonstrated leadership in cross-functional environment, Expertise in navigating an Enterprise Data Warehouse, experience with Hadoop environments, Python, R or other tools
What You'll Do.
Lead the development of RBC’s Wholesale Credit Risk Models (IRB
Focus on model development
back-testing and the quality of data ingested for modeling borrower risk ratings
credit risk parameters
LGD and EAD and expected credit loss (ECL).
Credit Modeling & Methodology in the execution and maintenance of tools and processes that support model development and performance monitoring.
Assist Senior Management and the Board in understanding critical parameter estimation issues relating to credit risk measurement.
and deployment of comprehensive credit risk models to support capital management
credit provisioning and stress testing.
Collecting and cleansing data
conducting the required analytical procedures
reporting on the results
and writing model documentation.
Play a critical role in the development of a robust data infrastructure and variable creation for model development and analytics.
Regularly review data sources and structures for changes or enhancements.
Evaluate new techniques for building risk models.
Keep up to date on best practices in model building techniques and assist in implementation of the new techniques.
Liaise with other stakeholders to facilitate model approval and participate in formulating implementation requirements
and conducting pre-implementation testing.
How You'll Work.
Team & Collaboration
Continuous interactions with other groups and stakeholders, including Senior Management and regulators.; Liaise with other stakeholders to facilitate model approval and participate in formulating implementation requirements, and conducting pre-implementation testing.; Ability to work well in teams
Communication Scope
Written and verbal communication skills, especially in explanation of complex concepts to a non-technical audience.
Full Job Description
**_Job Description_** **What is the Opportunity?** The Associate Director, Credit Modeling & Methodology will lead the development of RBC’s Wholesale Credit Risk Models (IRB, IFRS9, CECL, CCAR, EWST). You will focus on model development, back-testing and the quality of data ingested for modeling borrower risk ratings, credit risk parameters, PD, LGD and EAD and expected credit loss (ECL). You will assist the Director, Credit Modeling & Methodology in the execution and maintenance of tools and processes that support model development and performance monitoring. You will assist Senior Management and the Board in understanding critical parameter estimation issues relating to credit risk measurement. The team has significant impact across the bank and continuous interactions with other groups and stakeholders, including Senior Management and regulators. **What will you do?** * **Model development:** Research, develop, test, and deployment of comprehensive credit risk models to support capital management, credit provisioning and stress testing. This involves collecting and cleansing data, conducting the required analytical procedures, reporting on the results, and writing model documentation. * **Data management for modeling****:** Play a critical role in the development of a robust data infrastructure and variable creation for model development and analytics. Regularly review data sources and structures for changes or enhancements. * **New techniques for model building****:** Evaluate new techniques for building risk models. Keep up to date on best practices in model building techniques and assist in implementation of the new techniques. * **Model implementation/monitoring****:** Liaise with other stakeholders to facilitate model approval and implementation; participate in formulating implementation requirements, and conducting pre-implementation testing. **What do you need to succeed?** **Must-have** * Master or PhD degrees in a quantitative area such as statistics, ma
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