Director, IRRBB & FTP Model Risk Management

Job Description

Job Description What is the opportunity? The Group Risk Management (GRM) Balance Sheet and Liquidity Risk (BSLR) team performs the second line of defense role for all balance sheet and liquidity risks at the enterprise level. As Director, IRRBB & FTP Model Risk Management, you will lead the vision and strategy for independent oversight of methodologies, parameters, assumptions, and models used for measuring interest rate risk in the banking book (IRRBB) and fund transfer pricing. You will serve as a trusted advisor and effective challenger to senior stakeholders on all matters pertaining to IRRBB and FTP methodology and model risk. You will build and mentor a high-performing team while setting the direction for model validation practices and establishing IRRBB validation standards across the organization. What will you do? Oversee validation activities for IRRBB and FTP models and component customer behavioral models such as mortgage prepayment, non-maturity deposit, and commitment models across the enterprise Ensure the team delivers timely and effective assessments of model methodology, assumptions, limitations, data quality, implementation, and performance monitoring frameworks. Lead the design and methodology of validation testing and robustness assessments, establishing testing protocols and standards to evaluate IRRBB and FTP model effectiveness across the enterprise. Ensure validation reports are comprehensive and of high-quality to inform senior management and governance forums on model performance, risk, and findings. Engage with model owners, developers, users, and stakeholders to proactively identify, assess, monitor, and manage model-related concerns or findings at an enterprise level. Collaborate with model governance, senior risk managers, audit teams, and business partners to ensure validation strategies and recommendations are well-informed by business context and aligned with regulatory requirements. Lead efforts to ensure that RBC's Balance Sheet and Liquidity Risk frameworks and policies meet local regulatory requirements such as OSFI B12 and align with business strategies and industry best practices. Manage team work plans, resource allocation, and project prioritization to ensure completion in accordance with committed timelines and regulatory deadlines, including regulatory reviews, inspections, audits, and other governance deliverables. Implement corporate and divisional strategic plans and budgets for the BSLR IRRBB & FTP validation function, ensuring alignment with enterprise priorities and regulatory requirements. Manage activities and performance of senior managers and managers reporting to the Director, providing clear direction, accountability, and support for execution of validation programs. Recruit, develop, and mentor team members in model validation activities, fostering their technical expertise and leadership capabilities while embodying RBC values of collaboration, respect, and excellence. Keep abreast of indu

Required Skills