Associate Director, Market and Counterparty Credit Risk (MCCR

Job Description

What is the opportunity?

As Associate Director within Market and Counter party Credit Risk (MCCR), Group Risk Management, you will join one of four specialized risk teams that together provide independent risk oversight for RBC Capital Markets. This is a highly visible role offering broad exposure to multiple trading businesses, financial instruments, and senior stakeholders across the organization.

The MCCR team is responsible for ensuring that market risk and counter party credit risk are independently monitored, measured, and communicated internally to management and externally to regulators.

As an Associate Director, you will contribute to this mission through one of the following areas:

• Local Market Risk
• Counter party Credit Risk (CCR)
• Enterprise Market Risk
• Market Risk & CCR Capital Reporting

Regardless of the specific teams, you will develop deep expertise in risk analytics, engage directly with front-office and senior management, and play a key role in linking the current market environment to the trading risks faced by RBC.

Local Market Risk – Independent risk oversight for designated trading desks, ensuring alignment with risk appetite and providing value-added insight to senior management.

Counter party Credit Risk – Measurement, analysis, and monitoring of derivative credit exposures, including deep dives into counter party risk profiles and automation of risk tools.

Enterprise Market Risk – Firm-wide market risk reporting, stress testing, and analytics for senior management, regulators, and operating committees.

Market Risk & CCR Capital Reporting
– Regulatory and economic capital reporting and analysis, including FRTB Standardized Approach computations and capital trend analysis.

• Provide market risk oversight for designated trading desks, becoming the subject matter expert on key risks, P&L drivers, and risk control processes for your coverage area.
• Monitor portfolio and market changes to extract value-added insight for senior management, highlighting themes and events with risk relevance.
• Design and manage market risk metrics and limits including Greek sensitivities, stress testing, VaR measurement, and explain P&L decomposition vs risk drivers.
• Collaborate with trading teams on key risk issues (systems, limits, risk management) and review significant transactions to ensure proper risk controls.
• Drive process improvements and leverage emerging AI tools to enhance workflows and deliver innovative solutions for risk teams and business partners.

• Conduct derivative credit sizing, counter party deep dives, and ad-hoc credit event analysis to provide clear insight to senior management on risk trends and concerns.
• Investigate issues in counter party credit risk capturing and reporting processes; ensure accuracy by checking data quality, completeness, and identifying systemic issues.
• Develop and code tools to automate and standardize risk measures into official credit risk engines and monitoring systems.
• Assess New Business Initiatives from a counter party risk perspective and participate in wrong-way-risk analysis.
• Liaise with GRM Enterprise Risk and Group Risk Analytics teams to ensure risk models are calibrated and vetted appropriately.

• Provide timely and accurate market risk reporting and analysis, owning end-to-end processes and designing senior management reports (Operating Committee, FVOCI).
• Conduct thorough analysis of stress test results, participate in scenario design, and execute market risk components of regulatory stress tests.
• Generate daily trends and reports for senior management; perform backtesting and quarterly trend analysis.
• Improve reporting infrastructure and develop requirements for the strategic market risk platform.
• Collaborate closely with Regulatory Capital & Analysis, Quantitative Risk Analytics, and Local Market Risk teams.

• Provide timely, accurate, and complete risk regulatory and economic capital reporting, owning end-to-end processes and communicating drivers, trends, and dependencies to stakeholders.
• Maintain thorough understanding of FRTB Standardized Approach (SA) methodologies including SBA, DRC, and RRAO; compare and contrast against BAU internal risk metrics.
• Ensure market risks are aggregated appropriately across asset classes, metrics, and business lines.
• Respond to ad-hoc requests from senior GRM members, business heads, Finance, and Corporate Treasury regarding regulatory capital analysis for new business initiatives.
• Drive enhancements for improved controls, centralization, and automation, ensuring alignment with strategic initiatives.

• Master’s degree (or equivalent) in finance, economics, risk management, or a quantitative discipline
• 5-7 years total working experience; 3+ years of experience in market risk, credit risk, or a quantitative risk control function at a financial institution, with an…