Associate Director, Capital Measurement and Analytics (Wholesale Portfolios), FRO

What is the opportunity?
An integral part of the Capital Measurement team within FRO, you will advise on advanced and complex Regulatory and Economical capital calculations and provide guidance on credit risks methodologies with a focus on the wholesale portfolios. Your primary focus will be on supporting IT and businesses on upcoming transformational and regulatory projects (such as capital infrastructure replacement project and the impact of Basel III reforms etc.)

You will act as a key source of business requirements, implementation and testing of capital projects for capital calculations including data inputs and mapping for the designated portfolios and risk types. Responsibilities include the integrity and completeness of data flows into Regulatory and Economic Capital engines as well as for their alignment with RBCs financial reporting systems, reconciliation, validation and controls for the designated portfolios.

You will develop and provide value-added analysis to derive effective capital measurement specific business requirements pertaining to various aspects of RBCs wholesale portfolio.

What you will do?

• Responsible for calculating regulatory and economic capital requirements for RBCs wholesale portfolios in compliance with OSFI CAR guidelines, internal policies and other mandated protocols. Including maintenance of robust processes, policies and procedures to ensure accuracy of capital calculations.
• Ensure comprehensive and detailed business requirements for the implementation of Economic Capital and Basel III Regulatory Capital calculations with respect to data inputs and mapping as well as business rules are aligned with the underlying risk methodologies and regulatory requirements. Communicate with systems development and monitor execution from a business perspective.
• Develop and enhance capital measurement validation approaches along with supporting the execution of challenges related to capital measurement and management processes, including forecasting methodologies, assumptions/inputs, governance, results, and business decisions.
• Provide analytical and domain advisory on advanced and complex regulatory and economic capital calculations and risk methodologies. Including supporting business teams across the organization to better understand and optimize drivers of credit risk capital specific to their portfolios.
• Responsible for implementing and ongoing integrity of capital calculations.
• Collaborate with stakeholders including line of business, risk, finance, IT, and data teams to ensure accuracy of capital measurement calculations and represent capital measurement on cross-functional initiatives.
• Analyze and work with large capital related data sets using tools such as SQL, R, Python, VBA, etc.
• Play a key role in production and submission of critical internal and external disclosers and regulatory filings such as RBCs Basel Capital Adequacy Requirements (BCAR) reporting to OSFI, Pillar 3, etc.
• Within the specified scope, ensure integrity and completeness of all data inputs into Economic and Basel III Regulatory Capital engines as well as consistent application of business rules as driven by risk methodologies.
• Leverage business and product expertise to drive quantitative and qualitative analysis to determine capital, balance sheet, and ROE implications for proposed business strategies, new products and portfolio optimization initiatives. Prepare objective analysis that provides perspective to senior management to support decision-making on key capital related issues.
• Provide guidance in the testing and development of the Basel III regulatory capital calculation engine within the designated portfolios and risk types as well as support and ongoing maintenance of the engine.
• Develop and provide value-added analysis including scenario and sensitivity analysis to drive effective and optimized capital measurement specific to various aspects of RBCs wholesale portfolio. Including, taking a lead in complex problem solving, providing insights, and analytics to support overall capital related activities including efficient management and deployment of capital.
• Play a pivotal role in the interpretation and implementation of new capital adequacy frameworks. More specifically, participating in Quantitative Impact Studies (QIS) of proposed changes, effectively communicating the impacts and helping business stakeholders formulate strategies to transition to new requirements, and working with IT teams to implement changes to complex capital system architecture.
• Support the execution of challenges related to capital measurement and management processes, including forecasting methodologies, assumptions/inputs, governance, results, and business decisions. Including maintaining an understanding of industry best practices, trends, and supervisory guidance with respect to capital measurement and management.
• Provide detailed/technical analysis of the impact of new or changing regulations and develop options for potential advocacy work with external stakeholders such CBA, OSFI, BCBS, etc.
• Working with technology partners and 3rd party vendor resources, act as the key source of business requirements, implementation solutioning, testing, and validation of various project work streams for e.g. calculator and reporting build out, business rule configuration/optimization, and other key deliverables.
• Define and develop benchmark and key metrics for gauging successful completion and implementation of various critical project deliverables.
• Validate capital-related entries, resolve reconciliation issues and provide input into drivers behind risk capital for portfolios within the mandate.

What do you need to succeed?

Must Have

• Advanced academic qualification in fields of financial risk management (preferably quantitative area such math, data analytics engineering, computer science, statistics or finance) such Master in Business Administration, Masters in Data Analytics, Master of Finance, etc. coupled with professional designation such FRM, CFA, etc. and a 5+ years of experience in related fields.
• Experience required in credit risk management, regulatory and/or economic capital.
• Very strong data analytics skills with an ability to work with and analyze large volume of data sets using tools such as SQL, R, Python, etc.
• Strong knowledge of advanced quantitative techniques of risk measurement and parameter estimation, supported by business experience in their application.
• Familiarity with software development lifecycle (SDLC)principles and change management approaches.
• Strong communication skills, including well-developed verbal, written and presentation skills.
  Strong organizational skills and attention to detail.
• Proven ability to consistently deliver complex results against very tight deadlines.
• Strong attention to detail with proven ability to explain complex concepts in simple terms.
• A self-starter with ability to independently manage work and drive multiple deliverables concurrently.

Nice to Have

• Broad knowledge of RBC business and understanding of product ranges and structures in RBC for designated portfolios
• Thorough knowledge of RBCs systems and infrastructure

Job Skills

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