Associate Director - Market Risk (London)

Job Description

What is the opportunity?

• Group Risk Management (GRM) provides independent and effective on-site monitoring, controlling, and reporting on the nature and extent of all material market risk on the RBC London Trading Floor – ensuring implementation of and compliance with risk management policies and procedures.
• We are looking for someone with strong mathematical/analytic skills and technical derivatives knowledge, who can thrive in a fast-paced, high-pressure environment.
• The incumbent will help promote a “Best of Class” risk oversight environment for the London, Tokyo, and Global Structured Interest Rate (SRT) business (interest rate exotic products).
• The candidate will have hands-on experience in managing interest rate exotic risks, in order to assist GRM (and the Business) in helping analyse the risk and model framework for the SRT trading books and products. Additionally, the role requires a high level of technical expertise (across both interest rate models and IT systems) , as they will also be in-charge of running model parameter deep-dives, implementing scenarios for SRT, coding and building better Limits/Stress framework, and working closely with Group Risk Analytics, Risk IT, and N.America GRM to ensure consistency across the platform.
  

What will you do?

Risk Oversight and Analytics
• Owns and further enhances the daily scenario framework that GRM actively uses to assess both positioning and structural risks in the SRT books. Actively communicates emerging trends/risks and facilitates discussions with the trading desk and senior management.
• The candidate will be responsible for all SRT Risk-related development work within the GRM domain for the SRT books. This will require close collaboration and direction-setting in partnership with Risk-IT and Group Risk Analytic teams, as well as other relevant GRM desks.
• Apply in-depth knowledge of exotic pricing models in regular Interactions with Trading and Front Office quants on new or improved model frameworks to ensure all key risks are captured correctly and methodologies are sound.

Limit Monitoring
• Ensure all relevant risk metrics are monitored through the current reporting process
• Ensure all limit breaches are correctly tracked and reported

Risk Measurement.
• Assist in the transition of risk reports to new technology platforms, including a new standardized front-office platform (Riskhub) and working with Risk IT to plan for reporting/system migrations.
• On request: help prepare an ad-hoc analysis of evolving risks, new structured deals, and forecasting of market trends for senior management.

Compliance
• Comply with End User Computing policy
• Comply with Canada and UK Regulatory requirements.

What do you need to succeed?

Must-have

• MSc. / PhD or equivalent in Mathematics/Statistics, Physics, Engineering or Mathematical Finance
• Strong leadership skills and vision; a proven record of leading a team/project and delivering value-added results
• In-depth knowledge of interest rate options markets and primary risk drivers of those markets/products
• Hands-on experience working on a risk/trading desk at a financial company in a quantitative/programming role
• In-depth knowledge of:

• Value-at-Risk measurement
• Stress testing and scenario analysis
• Greeks Sensitivity analysis specific to the SRT/interest-rate-exotic business

• Proficient in VBA/Python/C++
• Excellent written and oral communication skills and is able to articulate ideas, thought processes, and recommendations confidently and rationally to senior audiences

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, flexible benefits, and competitive compensation
• Leaders who support your development through coaching and managing opportunities
• Opportunities to work with the best in the field
• Ability to make a difference and lasting impact
• Work in a dynamic, collaborative, progressive, and high-performing team
• A world-class training program in financial services
• Flexible work-life balance options.

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JOB SUMMARY
City: City of London
Address: 100 Bishopsgate
Work Hours/Week: 35
Work Environment: Office
Employment Type: Permanent
Career Level: People Manager
Pay Type: Salaried
Required Travel (%): 0-25
Exempt/Non-Exempt: N/A
People Manager: No
Application Deadline: 11/30/2021
Platform: Group Risk Management
Req ID: 431560
Posting Notes:
Flexible Working Options Considered