Senior Director, ALM Research & Analytics
RBC — TORONTO, Ontario, Canada
Posted 2026-10-06
Job Description What is the opportunity? Lead RBC Corporate Treasury's quantitative ALM methodology development, modelling, research and analytics, focusing on interest rate risk measurement and management. Lead development of behavioral and market risk models, supporting pricing and risk measurement for non-trading on-balance sheet products, mortgage and loan commitments, securitization, and term funding. Interest rate risk represents the bank’s largest structural book market risk, with effective measurement and management critical for shareholder value preservation. The team you’ll lead also supports RBC’s Pension Investment Group modeling and measurement, across a diverse set of asset classes, strategies, and ALM topics. What will you do? Lead research, methodology and model development relating to structural interest rate risk, consumer behaviour econometric modeling and forecasting (e.g., prepayment, redemption, pull through, product flows, term / mix preferences), economic capital models, balance sheet dynamics, and retail product and embedded option pricing models, in RBC’s domestic and international banking book balance sheets Lead development of diffusion, historic simulat