Job DescriptionWhat is the opportunity?As part of the Group Risk Management team, the Manager, Counterparty Credit Risk Models is responsible for the conceptual design, development, and ongoing maintenance of the mathematical models used for the measurement and capitalization of the counterparty credit risk of RBC's derivative and SFT portfolio. This includes ensuring that the model's underlying methodologies are appropriate and that they are implemented with integrity, to facilitate the effective management of the bank's CCR.
What will you do?- 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 implementation, either for production usage or to serve as a prototype 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 their approval of the models.
- Develop tools to assess and monitor model performance, including assumptions and limitations, on an ongoing basis for reporting to the various model monitoring governance committees.
- Investigate and remediate modeling issues identified through regular re-reviews, ongoing monitoring or by internal validation.
- Recalibrate models on a regular basis.
- Re-assessment and testing of models, including assumptions and limitations and benchmarking against alternative models, and documentation of the results in models whitepapers and annual assessments for review by internal validation.
What do you need to succeed?- Broad knowledge of traded products across various asset classes.
- Understanding of regulatory requirements and industry best practices for the measurement and management of counterparty credit risk.
- Strong analytical and problem solving skills.
- Excellent programming skills (e.g., Python).
- Strong data management and analysis skills (e.g. SQL and Excel).
- Ability to work collaboratively to achieve team goals.
- Agility to adapt to changing circumstances in a dynamic environment.
- Strong English communication skills, both written and verbal, especially in the explanation of complex modeling concepts to senior management and regulators.
- Masters in Financial Engineering, or a degree in another quantitative subject such as physics, statistics, mathematics or mathematical finance and/or a relevant professional qualification, with concentration in quantitative methods and/or finance.
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, commissions, and stock where applicable.
- Leaders who support your development through coaching and managing opportunities.
- Ability to make a difference and lasting impact.
- Work in a dynamic, collaborative, progressive, and high-performing team
Job SkillsCounterparty Credit Risk (CCR), Financial Engineering, Financial Regulation, Mathematical Finance, Mathematics Modeling, Quantitative Analytics, Risk Analytics, Risk Management, Risk Modeling
Additional Job DetailsAddress:ROYAL BANK PLAZA, 200 BAY ST:TORONTO
City:Toronto
Country:Canada
Work hours/week:37.5
Employment Type:Full time
Platform:GROUP RISK MANAGEMENT
Job Type:Regular
Pay Type:Salaried
Posted Date:2026-07-20
Application Deadline:2026-08-04
Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above
