Job Description
What is your opportunity? You will work in close proximity with model stakeholders in order to vet and validate mathematical/statistical models used by RBC, mainly focusing on Credit Risk (PD/LGD/EAD/etc.) for IFRS 9 and EWST. You will also act as a trusted advisor and effective challenger to model developers and users on all matters pertaining to risk‑modeling requirements.
What will you do?
- Perform effective challenge of model inputs, methodology, and implementation.
- Independently build replication/benchmarking models using statistical and/or machine‑learning algorithms.
- Engage model developers and related function‑group personnel as necessary to proactively assess, document, and independently validate mathematical/statistical models and their usage by the bank.
- Acquire and maintain a thorough understanding of the flow and context of model usage by the business.
- Ensure that model users adhere to RBC model r...