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 robust model governance and control.
• Partner with CIO leadership on 1LOD risk governance, controls and reporting within the Investments platform.

Qualifications

• Minimum bachelor’s degree in computer science, quantitative mathematics or related field with working knowledge of insurance asset‑and‑liability management.
• 6+ years of experience in Python‑based full‑cycle model design, development, validation and testing.
• Solid understanding of various asset classes (bonds, equities, linear and nonlinear derivatives, structured products), capital requirements and portfolio‑level analytics.
• Passionate problem solver, flexible to adapt to a dynamic environment.
• Excellent communication skills and ability to collaborate across investment, risk and other functional partners.
• Experience leading a high‑performing team to deliver robust risk measurement and reporting.
• Nice‑to‑have: experience with insurance company data and reporting processes; knowledge of ETL, data management, Snowflake, Power BI, Bloomberg.

Benefits & Development

• Competitive salary with discretionary variable compensation program.
• Modern, flexible benefits package including flexible work arrangements and stock options.
• Inclusive, supportive team that values diverse perspectives.
• Career development opportunities with learning programs and tools.

Location: RBC CENTRE, 155 Wellington St W, Toronto, Canada.

Employment type: Full time, Senior Level. Pay range: CAD $110,000 – $160,000 per year.