Director, CCAR Models
Description
This role is with the Group Risk Management team at Royal Bank of Canada, where the Director will lead a team responsible for the conceptual design, development, and ongoing maintenance of mathematical models used for CCAR (Comprehensive Capital Analysis and Review) stress testing. The position focuses on ensuring that the model's underlying methodologies are appropriate and implemented with integrity to facilitate effective management of the bank's capital adequacy assessment under CCAR scenarios.
What We're Looking For
Work with model users to understand their business requirements.
Conduct research, review regulatory requirements, and consult with industry stakeholders to evaluate best practices for modeling.
Make recommendations on model methodologies and develop technical implementations, either for production usage or as prototypes for benchmark testing.
Provide business requirements with technical implementation details and user acceptance criteria to technology teams for production deployment, and validate implementation using independently developed benchmark models.
Document model methodologies, implementation details, and testing results, and work with internal validation to facilitate model approval.
Develop tools to assess and monitor model performance, including assumptions and limitations, for reporting to governance committees.
Investigate and remediate modeling issues identified through regular reviews, ongoing monitoring, or internal validation.
Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of results in whitepapers and annual assessments.
Ideal Candidate
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Hard Skills
Soft Skills
Work Hours
37.5 hours/week
Benefits
About the Company
Royal Bank of Canada
Royal Bank of Canada is a global financial institution with a purpose-driven, principles-led approach to delivering leading performance. As Canada's largest bank, it provides personal and commercial banking, wealth management, and capital markets services to over 17 million clients worldwide.
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