Director leading the Data Science team at RBC focused on AI and analytics innovations. Overseeing model development and ensuring data governance across distribution networks in Canada.
About the role
- Senior Data Scientist implementing and documenting methodologies for market risk metrics in finance. Collaborating closely with middle office, data validation teams, and stakeholders.
Responsibilities
- Be responsible for updating and ensuring the quality of the methodological documentation for derivatives and market risk models.
- Update quantification methodologies for risk metrics (VaR, stress tests) and regulatory frameworks (FRTB, SIMM, ICAAP).
- Supervise and validate the review of model inputs and components, and arbitrate methodological issues.
- Be accountable for implementing complex new products in risk systems (Murex, MSCI RiskMetrics, FIS Adaptiv).
- Lead workshops, develop a framework for model needs and ensure alignment between stakeholders.
- Define and promote strategic directions for risk modelling and ensure continuous improvement.
Requirements
- Bachelor’s degree in finance, financial engineering or a related field
- A minimum of eight years of relevant experience, ideally in a market risk management or financial market environment, including experience working with a middle office, modelling team or model validation team
- Experience with at least one risk system, such as Murex, MSCI RiskMetrics or FIS Adaptiv
- Knowledge of French is required
- Advanced proficiency of English due to the nature of the duties or work tools or because the position involves interactions with English-speaking partners, members and/or clients
- Advanced Excel skills
- Practical knowledge of programming languages such as Python, SQL and other relevant languages
Benefits
- Competitive salary and annual bonus
- 4 weeks of flexible vacation starting in the first year
- Defined benefit pension plan that provides predictable, stable income throughout retirement
- Group insurance including telemedicine
- Reimbursement of health and wellness expenses and telework equipment
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