Join Deloitte's Regulatory & Financial Risk team in Delhi as an Assistant Manager, specializing in Market Risk. This role offers a dynamic opportunity within Deloitte Strategy, Risk & Transaction, a division dedicated to helping organizations navigate risks and uncover value. You will be instrumental in managing strategic risks, enhancing board oversight, and addressing complex financial and cyber threats.

Your responsibilities will encompass market risk reporting and analytics, including analyzing and validating risk and P&L numbers under Basel 2.5 and FRTB frameworks. You will support the Front Office with scenario analysis and risk appetite management, identify and resolve data issues with relevant teams, and report daily VaR flashes and pricing errors. Additionally, you will validate risk measures for OTC derivatives related to Uncleared Margin Rules, coordinate on Initial Margin disputes, and work on market data initiatives with Quants for analytics and hedging. This includes contributing to regulatory-driven initiatives for tighter controls on market risk and performing optimization methodologies with trading desks.

Key tasks involve: - Analyzing risk and P&L numbers for Basel 2.5 and FRTB. - Supporting scenario analysis and risk appetite management. - Identifying and remediating data and control gaps. - Reporting EOD VaR Flash and pricing errors. - Validating risk measures for OTC derivatives prior to IM calculation. - Performing attribution analysis for IM validation. - Coordinating on Initial Margin disputes.

We are seeking candidates with a strong understanding of derivatives and knowledge of regulatory guidelines such as SIMM, FRTB, and BCBS 239. A solid grasp of Greeks, Value at Risk (VaR), Credit Risk Models, and financial concepts like interest rates, credit spreads, and bond pricing is essential. Excellent communication and analytical skills are required. While programming knowledge in Python or VBA and certifications like FRM or CFA are advantageous, they are not mandatory. A minimum of 3 to 7 years of relevant work experience is expected. A graduate degree is a prerequisite for this role.