Join our Regulatory & Financial Risk team in Kolkata as an Assistant Manager specializing in Credit Risk Quantification. This role is integral to Deloitte's Strategy, Risk & Transaction practice, focusing on mitigating risks and identifying new opportunities for our clients.

You will play a key role in developing and validating sophisticated models crucial for market and counterparty credit risk management. This is an excellent opportunity to contribute to a dynamic team and enhance your expertise in a challenging financial landscape.

As a Market Risk Quant, you will be instrumental in: - Developing, reviewing, and validating Market Risk models, including FRTB (IMA & SA), Basel 2.5, and Counterparty Credit Risk models. - Assessing and validating Pricing models, IMM/internal exposure models (EPE, EE, PFE), XVA models, and Margin models (DIM, SIMM). - Conducting in-depth reviews of Stress Testing Models (CCAR, DFAST, ICAAP) to ensure robustness. - Evaluating model inputs, outputs, assumptions, conceptual soundness, and methodological appropriateness. - Performing comprehensive performance testing, benchmarking, sensitivity analysis, and back-testing. - Identifying potential model risks and proposing remediation actions through implementation reviews. - Preparing and reviewing detailed validation and model risk reports that align with regulatory expectations (e.g., SR 11-7, ECB, PRA).

Ideal candidates will possess a Master's degree in a quantitative field such as Finance, Financial Mathematics, Statistics, Economics, or Engineering, or an MBA. We require 5-8 years of relevant professional experience. A strong understanding of market risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing) and counterparty credit risk metrics (EPE, EE, PFE, EAD, SA-CCR, margin models) is essential.

You should also demonstrate proficiency in stochastic calculus, probability theory, numerical methods, and statistical techniques. Familiarity with derivatives and financial instruments across various asset classes (equities, fixed income, FX, commodities) is expected. Certifications like FRM, CFA, or CQF are considered a strong advantage.