Senior Director, ALM Research & Analytics
Core
Lead quantitative ALM methodology development, modeling, research, and analytics for interest rate risk measurement and management, supporting pricing and risk for non-trading on-balance sheet products, mortgage, loan commitments, and securitization.
Role type
Senior Director, ALM Research & Analytics
Builds
Behavioral and market risk models, economic capital models, balance sheet dynamics models, and retail product/embedded option pricing models for domestic and international banking books.
Domain
Banking / Financial Services / Asset Liability Management (via careerplan.io/jobs/R-0000189566-1-senior-director-alm-research-analytics-at-rbc)
Deliverable
production ML models
Required skills
ALM practices, banking book balance sheet dynamics, financial modeling and engineering, econometrics, fixed income mathematics, regulatory guidelines and accounting principles
Preferred skills
CFA, FRM, SQL, ALM risk engine platforms (QRM)
Technologies
QRM, SQL
Responsibilities
Lead research and model development for structural interest rate risk and consumer behavior; develop diffusion, historic simulation, factor, and deposit rate models; collaborate on hedging programs for retail banking; liaise with regulatory bodies; support pension investment ALM processes; lead model validation with GRM; explore AI techniques for ALM; lead and develop a team of ALM modeling experts.
Seniority
Senior Director, hands-on IC with team leadership
