Director, Market Risk Model Developer (Toronto)

We are seeking a skilled Market Risk Model Developer to support the RBC Insurance CIO Function to measure, analyze and report market risk. This role will develop and maintain a robust risk framework through model design to provide actionable insights into investment portfolios, risk exposures, regulatory metrics and performance reporting.

Responsibilities

• Lead the creation and implementation of key risk metrics (PV01, CS01, Inflation01, XCCY01) across all asset classes.
• Integrate market risk measures and reporting into the Enterprise Risk Management framework, including stress scenarios.
• Validate daily PnL reporting by linking it to risk metrics and cash flows, demonstrating the impact of market risk positions on financial results.
• Decompose total asset PnL by market‑risk driver to support performance attribution and inform business decisions.
• Manage market risk reporting processes and collaborate with the 2LOD to ensure ro...