This Deputy Manager role in Credit Risk Quant at Deloitte Touche Tohmatsu India LLP, Bengaluru, focuses on supporting model development and validation within the Regulatory & Financial Risk team. The position is key to enhancing the firm's risk management capabilities.

The team, Deloitte Strategy, Risk & Transaction, empowers entities to mitigate risks and identify new value-creation opportunities. Their comprehensive risk services cover strategic C-suite risks, board oversight, financial and environmental policies, and cyber threat management.

Key responsibilities include developing, reviewing, and validating Market Risk (FRTB IMA, SA and Basel 2.5), Counterparty Credit Risk, and Pricing models. This involves conducting independent reviews of various risk models, assessing model inputs, outputs, assumptions, conceptual soundness, and methodological appropriateness.

Further duties encompass performance testing, benchmarking, sensitivity analysis, and back-testing. The role also requires reviewing model implementation, identifying potential model risks, and proposing remediation actions. Preparing and reviewing detailed validation and model risk reports aligned with regulatory expectations (e.g., SR 11-7, ECB, PRA) is also a crucial aspect of this position.

Ideal candidates will possess a Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, or an MBA, coupled with 5-8 years of relevant experience. A strong understanding of Market Risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing) and CCR metrics (EPE, EE, PFE, EAD, SA-CCR, margin models) is essential.

Candidates should also demonstrate proficiency in stochastic calculus, probability theory, change of measure, and numerical methods. Familiarity with statistical techniques and tests, stress testing, scenario analysis, and risk management strategies, along with a solid grasp of derivatives and financial instruments across equities, fixed income, FX, and commodities, is required. Certifications like FRM, CFA, or CQF are considered a plus.