Manager, FRTB – Enterprise Model Risk Management | Canada

Job Position: Manager, FRTB – Enterprise Model Risk Management
Job Description: RBC – Toronto, ON – What is the opportunity? The Manager, Fundamental Review of the Trading Book (FRTB) will validate (e.g. replicate, benchmark, backtest) pricing and risk models used for financial and regulatory reporting for RBC Capital Markets trading activities, with a focus on FRTB for compliance with regulatory requirements. The Manager will identify and escalate material issues related to model risk, and provide consultancy with respect to potential technical solutions to these issues. What will you do? Identify and escalate material issues related to model risk, and provide consultancy to stakeholders (business model users/owners, banking regulators, auditors) with respect to potential solutions to these issues. Identify and articulate model limitations, and maintain relevant model controls and model risk ratings. Work with Market Risk, Finance, and other internal or external model stakeholders to monitor and assess the on-going performance of models, identify market data availability and …see more details

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