Manager, IRRBB Measurement

Job details
Job type
Full-time
 
Location
Toronto, ON M+W 0A4
 
Full job description
Job Summary

Job Description

What is the opportunity?

The Manager, IRRBB Measurement supports RBC compliance with OSFI’s B-12 guidelines along with BCBS 368 (IRRBB) regulations. The scope of the position includes the Domestic banking subsidiaries. Interest rate risk is the largest market risk inherent in the structural balance sheet and its effective measurement is necessary for preservation of shareholder value and stability of net interest income. This position brings highly specialized knowledge and expertise in development of models and processes related to measurement and evaluation of interest rate risks.

What you will do?

Leverage expertise in risk and performance measurement of the retail and wholesale products in the Canada, US, UK and EU.
Maintain and improve processes supporting RBC’s leadership in the area of balance sheet management by providing cutting edge expertise in risk and performance measurement; and a deep understanding of the retail and investment products.
Support comprehensive measurement of IRRBB.
Maintain and continuously improve IRRBB (Value and earnings) measurement processes including extract/transform/load processes, balance and control, valuation/planning related to the transfer priced / mismatch position as well as client contractual risk positions.
In scope reporting automation and efficiencies include i) regulatory reporting, internal management reporting, and external disclosures; along with ii) risk / sensitivity profiles, position data, behavior tracking, and compliance reporting.
Support IRRBB model development and implementation by leveraging consumer behaviour econometric modeling and forecasting (prepayment, redemption, and pull-through) and retail product and embedded option pricing models in the CAD and US non-trading balance sheets.
Develop new risk reports and presentations and provide reconciliation and attribution of risk measurement results and changes for both value and earning risks to the Bank ALCO committees, Corporate and Local Treasury's Senior management.
Prepare and maintain documentation regarding risk measurement methodology, processes and procedures, product modeling and implementation of model enhancements.
What you need to succeed?

Must Have

Degree in Business, Mathematics or related fields
2+ years of relevant Treasury experience
Solid understanding of financial principles and risk concepts
Strong grasp of Asset Liability Management practices
Superb knowledge of database concepts (SQL)
Proven analytical and problem solving skills
Good understanding of business and accounting regulations
Excellent communication skills both verbal and written
Well organized, ability to work on multiple tasks and deadline oriented
Excellent business computer skills (Microsoft Office, Visual Basic)
RPA experience, in particular Blue Prism.
Preferred experience with Vertica and Tableau.
Nice to Have

MBA, CFA or FRM
QRM process and development skills
Job Skills

Analytical Thinking, Commercial Acumen, Critical Thinking, Decision Making, Financial Regulation, Interest Rate Risk Management, Risk Management, Strategic Thinking, Treasury Management
Additional Job Details

Address:

RBC CENTRE, 155 WELLINGTON ST W:TORONTO
City:

TORONTO
Country:

Canada
Work hours/week:

37.5
Employment Type:

Full time
Platform:

OFFICE OF THE CFO
Job Type:

Regular
Pay Type:

Salaried
Posted Date:

2025-06-27
Application Deadline:

2025-07-14
Note: Applications will be accepted until 11:5+ PM on the day prior to the application deadline date above

Inclusion and Equal Opportunity Employment

At RBC, we believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.

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