Associate Director, Market and Counterparty Credit Risk (MCCR)

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Associate Director, Market and Counterparty Credit Risk (MCCR)

senior · Risk & Compliance

Job Description

What is the opportunity?

As Associate Director within Market and Counterparty 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 counterparty 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, Counterparty Credit Risk (CCR), Enterprise Market Risk, or 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.

The four areas within MCCR:

Local Market Risk – Independent risk oversight for designated trading desks, ensuring alignment with risk appetite and providing value-added insight to senior management. Counterparty Credit Risk – Measurement, analysis, and monitoring of derivative credit exposures, including deep dives into counterparty 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.

What will you do?

Local Market Risk

• 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.

Counterparty Credit Risk

• Conduct derivative credit sizing, counterparty deep dives, and ad-hoc credit event analysis to provide clear insight to senior management on risk trends and concerns.
• Investigate issues in counterparty 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 counterparty 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.

Enterprise Market Risk

• 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.

Market Risk & CCR Capital Reporting

• 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.

What do you need to succeed?

Must-have

• 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 understanding of capital markets trading products
• Strong understanding of financial markets and trading businesses, both exchange-traded and OTC, including vanilla and exotic derivative products
• Knowledge of risk methodologies including VaR, stress testing, scenario analysis, sensitivity analysis, and P&L decomposition
• Proficiency in Python; experience with SQL and data visualization tools (Tableau, Power BI)
• Excellent written and verbal communication skills, with the ability to present complex technical concepts to senior risk and business leaders
• Strong analytical and problem-solving capabilities with attention to detail
• Ability to work independently and collaboratively under tight deadlines

Nice-to-have

• CFA, FRM, PRM, or CA designation
• Knowledge of regulatory capital frameworks (FRTB, SA-CCR, Basel III/IV)
• Experience with Bloomberg and risk systems (RiskWatch, Murex, Polypath, Sophis, Apex)
• Hands-on experience with AI tools and agentic AI solutions
• Advanced Python coding and automation experience

What’s in it for you?

We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual.

• A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation, commissions, and stock where applicable
• Leaders who support your development through coaching and managing opportunities
• Work in a dynamic, collaborative, progressive, and high-performing team
• The opportunity to interface with senior level executives from many different parts of the organization
• Flexible work/life balance options
• Opportunities to do challenging work and make a lasting impact
• Broad exposure to multiple asset classes and trading businesses, with rewarding opportunity for accelerated career progression for high performers

Job Skills

Capital Markets, Credit Risk, Decision Making, Financial Derivatives, Financial Instruments, Group Problem Solving, Market Risk, Market Risk Analysis, Performance Management, Python (Programming Language), Resource Coordination, Risk Management, RiskMetrics, Waterfall Model

Job Skills

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Note: Applications will be accepted until 11:59 PM on the day prior to the application deadline date above

Our Employment Opportunities

At 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.

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