Senior Manager, ALM Analytics and Research

Updated: March 10, 2024 06:05 AM GMT

Full-time Job in Toronto, Ontario

Royal Bank of Canada

Toronto, ON

Job Summary

Job Description

What is the opportunity?

The Senior Manager, ALM Analytics and Research will responsible for research, model development on behavioral assumption of banking products, documentation and submission work on model validation review/update/changes and back testing along with champion/challenger model variance testing and attribution.

The successful candidate will work closely with various teams across Corporate Treasury, Subsidiary Units, Business Units and Risk Management to develop and implement production and benchmark models for behavioral assumptions which underpins measurement of IRRBB.

What you will do?

ALM modelling specialist responsibilities:
• Estimation, calibration and implementation of behavioral assumption models for banking book business/retail product embedded optionality including prepayment assumption for residential and commercial mortgages and loans, and non-maturity deposit duration profile.
• Application of applied econometric... More Detail