Director ALM Analytics and Applied Research
RBC — TORONTO, Ontario, Canada
Posted 2026-10-13
Job Description WHAT IS THE OPPORTUNITY? Director, ALM Analytics & Applied Research is responsible for research, simulation, and forecasting of RBC’s Canadian banking balance sheet and income statement for the purpose of measuring stress exposure, in support of the Bank's Asset Liability Management, IRRBB metrics, and stress testing. The role focuses on econometric modeling of client behaviour assumptions for retail banking products, with strong emphasis on statistics, fixed income valuation modeling, and database management. Responsibilities include applied research relating to behavioural options in retail banking, risk and simulation model development, design input and output criteria, model performance evaluation, model and assumption documentation, process design, and econometric research related to dynamic forecasting assumptions. WHAT WILL YOU DO? · Simulate and forecast Canadian Banking balance sheet and income statement under stress scenarios for purposes of IRRBB risk measurement. · Develop econometric models for forecasting purposes to project cashflows of RBC banking book positions used for IRRBB measurement, using internal and external time series and panel data sets;