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Job Description
What is the opportunity?
Global Risk Analytics (GRA) is the center of expertise for models used in risk measurement of market and counterparty credit risk for trading book.
With Basel IV, new regulatory risk measures and capital requirements have been proposed. GRA has model development ownership for FRTB models and has developed a multi-jurisdictional capital framework to support OSFI and EBA specific regional guidelines. Other jurisdictional guidelines (FED and PRA), which have been recently published, are also under review and are expected to go-live in 2025.
In addition to the FRTB exposures, there are many other opportunities from internal market risk models, which include VaR/SVaR benchmark model development for swaps with compounding/averaging features, SVaR window determination methodology review, testing and validation documentation submission, and equity spot scenario generation methodology for VaR/SVaR purpose. These opportunities will help the intern grasp the knowledge of industrial standardized market risk measures and develop solid quantitative skills.
GRA is seeking an individual who is interested in applying their financial knowledge and data analysis to empower our model development and maintenance. The intern student will be involved in researching solutions for new requirements and well as benchmarking model development. The candidate will learn about FRTB multi-jurisdictional requirements and internal market risk measurements for financial products.
What will you do?
- Assist to development and maintenance of market risk models.
- Assist with remediation of issues and new model enhancements.
- Assist with documentation requirements.
- Make presentation to senior people in risk forums.
What do you need to succeed?
Must-have
- Programming experience in Python and SQL.
- Knowledge about financial products in trading book and risk measures.
- Ability to communicate technical matters in written and oral forms.
- Team players to collaborate and innovate.
Nice-to-have
- Interest in learning about new regulatory landscapes.
- Understand of the big picture regarding how risk function works in banks.
What's in it for you?
We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual.
- Leaders who support your development through coaching and managing opportunities
- Ability to make a difference and lasting impact
- Work in a dynamic, collaborative, progressive, and high-performing team
- Opportunities to do challenging work and make a difference
- Opportunities to building close relationships
Please note: This posting is for a 4-months Summer 2024 Student placement with a start date of May 2024, and end date of August 2024. In order to be eligible for this 4-months Student position, you must either:
- Be returning back to school after the work term end-date of August 2024 ; or
- If you are not returning back to school (i.e. are graduating in August 2024), you must require the full 4-months work term as a mandatory component to in order to graduate successfully.
Please ensure that you meet these eligibility requirements before applying - candidates who apply but are found to be ineligible are not able to be considered.
We encourage you to apply as soon as possible as we accept applications on a rolling basis, but please note that the formal application deadline is January 15, 2024. Should you be selected to progress, someone from our team will reach out directly to provide instructions on next steps. Otherwise, feel free to check for progress updates by logging in to your RBC profile. If the status has not changed, it denotes the fact that your application is still under review.
RBC is committed to supporting flexible work arrangements when and where available. The successful candidate for this role will be required to be located within Ontario for the duration of the work term. Details regarding the specific virtual, hybrid, and in-office arrangements for this Integrated Learning/ Co-op position are to be discussed with the Hiring Manager.
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