Stress Testing Analytics

Royal Bank of Canada
New York
Oct 17, 2016
Oct 25, 2016
Employer Type
Direct Employer
Employment Type
Full Time
Job Board

What is the opportunity?

You will be part of a modelling team developing the methodologies used to estimate loan losses in the RBC wholesale portfolios for the purposes of Enterprise Wide Stress Testing (EWST), US Comprehensive Capital Analysis and Review (CCAR) and IFRS9 compliance.

We are a fast growing group within RBC Group Risk Management that assesses and aggregates all main risks in the bank from an enterprise wide perspective. As an experienced modeler, you will become a key contributor in the development of our quantitative methodologies.

What will you do?

- Engaged in the development of PD/LGD and/or other econometric models for the commercial real estate (CRE) portfolio
- Support our credit methodologies contributing to the stress testing programs in the US, Canada and Europe, as well as RBC-consolidated
- Document RBC's credit stress test methodologies, frameworks, and practices
- Provide research and benchmarking on credit methodologies to ensure we are a leading institution related to best practices across the industry

What do you need to succeed?
- Graduate degree in a quantitative discipline such as statistics, economics, econometrics, finance, mathematics, physics, engineering and/or a relevant professional qualification, with concentration in quantitative methods
- Knowledge of corporate, commercial, and commercial real estate portfolios, including loan forecast or stress testing methodologies.
- 3+ years of relevant business experience in risk management groups within the financial industry. Other business experience will be considered based on applicability
- Knowledge of databases structure and management (SQL, SAS, etc.)
- Experience in regression and econometric modelling
- Experience in cleaning, restructuring and merging large datasets

- Knowledge of a least two statistical/numerical software; such as SAS, R, Matlab, VBA, Stata and/or E-Views (among others).

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.

- We are a team that prides itself for high quality work with significant impact across the bank and continuous interaction with other groups, senior management and regulators
- Given the nature of our work, the opportunity to learn, grow and expand your network is significant.
- Opportunity for interested individuals to work in other relevant areas; such as corporate, retail risk, and operational stress testing models.

- Ability to make difference

About RBC
Royal Bank of Canada is Canada's largest bank, and one of the largest banks in the world, based on market capitalization. We are one of North America's leading diversified financial services companies, and provide personal and commercial banking, wealth management, insurance, investor services and capital markets products and services on a global basis. We employ approximately 78,000 full- and part time employees who serve more than 16 million personal, business, public sector and institutional clients through offices in Canada, the U.S. and 39 other countries.

Inclusion and Equal Opportunity Employment
RBC is an equal opportunity employer committed to diversity and inclusion. We are pleased to consider all qualified applicants for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, age, disability, protected veterans status, Aboriginal/Native American status or any other legally-protected factors. Disability-related accommodations during the application process are available upon request.


City: New York
Work Hours/Week: 40
Work Environment: Office
Employment Type: Regular - U.S.
Career Level: Experienced Hire/Professional
Pay Type: Salaried
Required Travel (%): 0-25
Exempt/Non-Exempt: Exempt
People Manager: No
Job Posting End Date: 07/22/2016
Req ID: 118612

Posting Notes: SF:JB