Manager, Enterprise Model Risk Management
On-site · Toronto, Ontario, Canada
Job Summary
Manager responsible for independently validating valuation and risk models for RBC Capital Markets with a focus on structured equity derivatives and PFE calculations; provides consultancy on technical model issues, risk assessment of model limitations, and maintains model inventory and reports. Requires an advanced degree in a quantitative field, experience in model validation or development, knowledge of structured equity derivatives, proficiency in computational techniques (Monte Carlo, PDEs), and programming skills in C/C++/Java/Perl/Python/VBA with experience in Excel/Matlab. Located in Toronto, Canada; full-time role with RBC's Group Risk Management.
Required Qualifications
- Advanced degree in a quantitative discipline (Masters or PhD)
- Experience in model validation or model development
- Product knowledge of structured equity derivatives
- Fluency in computational techniques including Monte Carlo simulation
- Programming ability in C/C++/Java/Perl/Python/VBA
- Experience with Excel/Matlab
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