Manager, Credit Risk Measurement

RBC - Toronto, ON (30+ days ago)

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What is the opportunity?

The Manager, Credit Risk Measurement will be associated with the on-going implementation and maintenance of IFRS 9 for the consolidated bank, a systems implementation driven by RBC’s banking book that has a material impact on quarterly earnings. You will support the development of an effective IFRS 9, CCAR, MST and EWST measurement platform, which will be in compliance with IFRS 9 standards as well as applicable current expected credit loss (CECL) standards under US FASB accounting rules.

The incumbent will assist senior management and the Board in understanding critical measurement issues and the implementation of models. You will also assist in technical solutions and implementation related to stress testing, including high-priority US CCAR implementation.

What will you do?

Assists in the on-going development and maintenance of sophisticated credit risk measurement systems for IFRS 9 and stress testing, including CCAR. This includes support work related to models and advanced measurement systems with a focus on credit risk.
Support and manage de-centralized stress testing efforts.
Leverages mathematical, modeling, coding and IT knowledge to analyze requirements and implement solutions related to credit risk measurement systems, including related topics such as accounting, IT, process structure/automation, and regulatory reporting standards.
Assists in preparing documentation or presentations relating to credit risk methodology, processes, testing procedures, and controls.
Develop and manage the acquisition of data from enterprise data warehouses.
Understands stakeholder requirements, leading to proposal and implementation of solutions to address these needs.
Contributes to the successful production of IFRS 9 ECL calculations under tight timelines, by identifying risks and developing mitigation strategies.

What do you need to succeed?


Degree in mathematics, statistics, or computer science, with a focus on advanced measurement programming and data analysis. 3+ years of working experience and/or knowledge in Finance or Banking preferred.
Strong programming ability required to analyze and implement advanced credit measurement systems/processes. Proficiency in statistical/numerical tools (e.g. SAS, R, Matlab) and Python.
Understanding of accounting, economic, and regulatory contexts applicable to credit risk.
Understanding of IT development processes, including requirements methods, development life cycle, quality controls, project management, IT development methodologies, and IT standards is desirable.
Excellent conceptual, analytical and problem solving skills with excellent teamwork and collaboration skills. Strong work ethic, demonstrating self-initiative and a self-starter attitude.

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

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City: Toronto
Address: 155 Wellington St. W
Work Hours/Week: 37.5
Work Environment: Office
Employment Type: Permanent
Career Level: Experienced Hire/Professional
Pay Type: Salary + Variable Bonus
Required Travel (%): 0
Exempt/Non-Exempt: N/A
People Manager: No
Application Deadline: 02/07/2020
Platform: Group Risk Management
Req ID: 217122

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