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Associate Director - US ALM Risk Manager
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- Implements the finance institution's asset/liability evaluation, especially the analysis of interest rate risk and liquidity risk, following established policies and standards.
- The incumbent will support the Lead, US ALM Risk Management and the Head, US GRM-BSR in the oversight of banking book market risk across RBC CUSO as part of the Group Risk Management (GRM) mandate and will promote a "Best of Class" risk oversight environment.
- The incumbent is responsible for applying a working level of knowledge of Asset Liability Management (ALM) (also referred to as banking book market risk, non-trading market risk, or interest rate risk in the banking book - IRRBB); a primary responsibility of this role is to provide support to the Lead, ALM Risk Management on matters pertaining to the oversight of the ALM profile and management of CUSO entities.
- Understand and quantify the impacts from model and parameter assumptions (quantitative and qualitative) employed within the banking book market risk framework, including deposit duration models, retail pricing models, and loan prepayment models
- Create consolidated reporting that includes additional sensitivity measures and stress testing, with consistent aggregation and integration across business lines, legal entities, etc.
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