Join our esteemed Regulatory & Financial Risk team as an Associate Director in Mumbai. This role focuses on providing independent review and validation of market risk models, ensuring compliance with regulatory guidance and industry best practices. You will play a crucial part in enhancing the quality of risk management deliverables by staying abreast of financial markets, business trends, and regulatory updates, including Basel, FRTB, and IRRBB.

We seek professionals with a robust background in quantitative finance and a proven track record in model validation or development. This is an excellent opportunity to contribute to a dynamic team within Deloitte Touche Tohmatsu India LLP, where you will engage with complex financial modelling and present findings to diverse stakeholders.

Key responsibilities include conducting independent reviews of market risk models, assessing conceptual soundness, and validating assumptions and input reliability. You will author comprehensive validation documents, including testing analysis and conclusions, for both internal and external audiences, such as regulators. This role involves verbally communicating results and engaging in discussions on methodologies with senior management.

You will represent the MRM team in interactions with regulatory and audit agencies. Staying updated on financial markets, business trends, and regulatory guidelines is essential for enhancing the quality of validation and risk management deliverables. Collaboration across projects involving model audits, validation, and development is also a core aspect of this position, with a requirement to continuously upskill.

Responsibilities extend to explaining complex financial modelling and valuation concepts to various audiences, including client experts. You will be involved in the full model lifecycle, encompassing model development, rigorous validation, and ongoing monitoring reviews to ensure model fitness and compliance with risk management frameworks and regulatory standards. This includes assessing model changes, limitations, and performance trends.

We are looking for candidates with a minimum of 10-15 years of relevant experience in model validation and development. A strong understanding of Market Risk concepts and metrics such as VaR, Risk Sensitivities, FRTB, and IRRBB is essential. Knowledge of Basel III, IV, SAS, Regulatory Reporting, and System Implementation is required.

A background in mathematical finance with a Master's degree in financial engineering or quantitative finance is preferred, although candidates with a strong academic record but without a Master's may be considered. A Bachelor's degree in Statistics, Mathematics, Physics, Computer Science, or Engineering is mandatory. Professional certifications like CQF, CFA, or FRM are a plus.

Experience in a Quant role within model validation and/or development in a financial institution or consulting firm is essential. Proficiency in programming languages such as Python, R, or SAS is necessary. The ability to explain complex financial modelling concepts to diverse audiences and a willingness to learn new topics are highly valued. Knowledge of popular machine learning techniques and derivative finance, including stochastic calculus and numerical techniques, is preferred.