Head of Compliance Testing and Monitoring

Job DescriptionALM Manager, Royal Bank of Canada US, Los Angeles, CA:Responsible to lead production of all Interest Rate Risk in the Banking Book (IRRBB) metrics such as NII (Net Interest Income), economic value of equity (EVE), and KRD (Key rate duration) for major CUSO (Combined US Operations) entities. Lead development, support, maintenance, and documentation of model methodologies and procedures for QRM (Quantitative Risk Management) models. Monitor compliance of IRRBB (Interest Rate Risk in the Banking Book) metrics with all applicable limits. Escalate to senior management increased levels of IRR (Interest Rate Risk) exposures. Ensure accuracy and reasonableness of ALM (Asset and Liability Management) model projections following the model governance standard regarding data completeness and assumptions development. Lead periodic back testing and sensitivity analysis of modeling assumptions. Communicate with various teams across the City National Bank (CNB) and CUSO (Combined US Operations) to develop accurate and reasonable assumptions for IRRBB models. Lead updates of IRRBB policies and procedures. Monitor economic environment and balance sheet trends to identify developments detrimental to the IRRBB. Establish strong working relationships within Treasury, Finance and across business units and platforms.#LI-DNIFull time employment, Monday – Friday, 40 hours per week, $234,000.00 per year.Bachelor’s degree in Electronics Engineering, Communication Engineering, Finance, Business, Economics, Accounting, Management Information Systems or a related field and 5 years of progressive, post-baccalaureate work experience.Must have 5 years of experience in:* Designing and implementing frameworks for measuring, monitoring, and mitigating IRRBB (Interest Rate Risk in the Banking Book) in compliance with regulatory guidelines;* Conducting gap analysis, duration modeling, and economic value of equity (EVE) simulations to assess balance sheet sensitivity to interest rate shocks;* Managing asset-liability repricing mismatches and optimizing balance sheet structure to align with risk appetite and strategic goals;* Structuring and executing interest rate swaps (IRS), swaptions, and treasury futures/options to hedge IRR exposures;* Utilizing behavioral modeling for non-maturity deposits (NMDs) and prepayment risk analysis for loan portfolios; Must have 3 years’ experience in:* Developing and maintaining data pipelines for ALM reporting, ensuring accuracy, consistency, and compliance with data standards; * Leveraging SQL, Python, or R for data extraction, transformation, and validation to support IRR and liquidity risk models;* Using dashboards with data visualization tools Tableau or Power BI; and* Utilizing QRM Modelling Platforms to build and validate balance sheet models, cash flow projections, and stress-testing scenarios.Domestic travel required up to 20%.This salary does not include other elements of total compensation, including a discretionary bonus and benefits such as a 401(k) program with company-matching contributions; health, dental, vision, life and disability insurance; RBC’s compensation philosophy and principles recognize the importance of a highly qualified global workforce and plays a critical role in attracting, engaging and retaining talent that:· Drives RBC’s high performance culture· Enables collective achievement of our strategic goals· Generates sustainable shareholder returns and above market shareholder valueTO APPLY: OFFICE OF THE CFOJob Type:RegularPay Type:SalariedPosted Date: Application Deadline: Note:Applications will be accepted until 11:59 PM on the day prior to the application deadline date aboveOur Employment OpportunitiesAt RBC, we are guided by living shared values of Client First, Integrity, Collaboration, Respect and Excellence and winning together as One RBC. We believe an inclusive workplace that has diverse perspectives is core to our continued growth as one of the largest and most successful banks in the world. Maintaining a workplace where our employees feel supported to perform at their best, effectively collaborate, drive innovation, and grow professionally helps to bring our Purpose to life and create value for our clients and communities. RBC strives to deliver this through policies and programs intended to foster a workplace based on respect, belonging and opportunity for all.Find out how we use our passion and drive to enhance the well-being of our clients and communities at jobs.rbc.com.R- Date posted : Profession: Audit | Compliance | Legal | RiskEmployment type: Full time