Royal Bank of Canada
Job title:
Manager, IRRBB Measurement
Company
Royal Bank of Canada
Job description
Job SummaryJob DescriptionWhat is the opportunity?The Manager, IRRBB Measurement supports RBC compliance with OSFI’s B-12 guidelines along with BCBS 368 (IRRBB) regulations. The scope of the position includes the Domestic banking subsidiaries. Interest rate risk is the largest market risk inherent in the structural balance sheet and its effective measurement is necessary for preservation of shareholder value and stability of net interest income. This position brings highly specialized knowledge and expertise in development of models and processes related to measurement and evaluation of interest rate risks.What you will do?
- Leverage expertise in risk and performance measurement of the retail and wholesale products in the Canada, US, UK and EU.
- Maintain and improve processes supporting RBC’s leadership in the area of balance sheet management by providing cutting edge expertise in risk and performance measurement; and a deep understanding of the retail and investment products.
- Support comprehensive measurement of IRRBB.
- Maintain and continuously improve IRRBB (Value and earnings) measurement processes including extract/transform/load processes, balance and control, valuation/planning related to the transfer priced / mismatch position as well as client contractual risk positions.
- In scope reporting automation and efficiencies include i) regulatory reporting, internal management reporting, and external disclosures; along with ii) risk / sensitivity profiles, position data, behavior tracking, and compliance reporting.
- Support IRRBB model development and implementation by leveraging consumer behaviour econometric modeling and forecasting (prepayment, redemption, and pull-through) and retail product and embedded option pricing models in the CAD and US non-trading balance sheets.
- Develop new risk reports and presentations and provide reconciliation and attribution of risk measurement results and changes for both value and earning risks to the Bank ALCO committees, Corporate and Local Treasury’s Senior management.
- Prepare and maintain documentation regarding risk measurement methodology, processes and procedures, product modeling and implementation of model enhancements.
What you need to succeed?Must Have
- Degree in Business, Mathematics or related fields
- 2+ years of relevant Treasury experience
- Solid understanding of financial principles and risk concepts
- Strong grasp of Asset Liability Management practices
- Superb knowledge of database concepts (SQL)
- Proven analytical and problem solving skills
- Good understanding of business and accounting regulations
- Excellent communication skills both verbal and written
- Well organized, ability to work on multiple tasks and deadline oriented
- Excellent business computer skills (Microsoft Office, Visual Basic)
- RPA experience, in particular Blue Prism.
- Preferred experience with Vertica and Tableau.
Nice to Have
- MBA, CFA or FRM
- QRM process and development skills
Job Skills Analytical Thinking, Commercial Acumen, Critical Thinking, Decision Making, Financial Regulation, Interest Rate Risk Management, Risk Management, Strategic Thinking, Treasury ManagementAdditional Job DetailsAddress: RBC CENTRE, 155 WELLINGTON ST W:TORONTOCity: TORONTOCountry: CanadaWork hours/week: 37.5Employment Type: Full timePlatform: OFFICE OF THE CFOJob Type: RegularPay Type: SalariedPosted Date: 2025-02-19Application Deadline: 2025-03-06Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date aboveInclusion and Equal Opportunity EmploymentAt RBC, we embrace diversity and inclusion for innovation and growth. We are committed to building inclusive teams and an equitable workplace for our employees to bring their true selves to work. We are taking actions to tackle issues of inequity and systemic bias to support our diverse talent, clients and communities.We also strive to provide an accessible candidate experience for our prospective employees with different abilities. Please let us know if you need any accommodations during the recruitment process.Join our Talent CommunityStay in-the-know about great career opportunities at RBC. Sign up and get customized info on our latest jobs, career tips and Recruitment events that matter to you.Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at .
Expected salary
Location
Toronto, ON
Job date
Fri, 21 Feb 2025 08:43:57 GMT
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