Join our Regulatory & Financial Risk team in Bengaluru as a Deputy Manager specializing in Credit Risk Quantification. This role is pivotal in developing and validating sophisticated models essential for managing market and counterparty credit risk. You will contribute to our mission of helping entities navigate complex financial landscapes while identifying new avenues for value creation. Our team offers comprehensive risk services, addressing everything from strategic challenges to cybersecurity threats.

As a Market Risk Quant, your responsibilities will include:

- Developing, reviewing, and validating Market Risk models (e.g., FRTB IMA/SA, Basel 2.5) and Counterparty Credit Risk models (including IMM, XVA, and Margin models). - Conducting rigorous stress testing model validation (e.g., CCAR, DFAST, ICAAP). - Performing in-depth assessments of model inputs, outputs, assumptions, and conceptual soundness. - Executing performance testing, benchmarking, sensitivity analysis, and back-testing. - Identifying potential model risks and proposing remediation strategies. - Preparing comprehensive validation and model risk reports in adherence to regulatory standards.

Ideal candidates will possess a Master’s degree in a quantitative field such as Financial Mathematics, Statistics, Economics, or Engineering, or an MBA. We require 5-8 years of relevant experience in quantitative research, statistical modeling, or market risk management, with a strong understanding of metrics like VaR, Expected Shortfall, FRTB, and CCR metrics. Familiarity with stochastic calculus, probability theory, numerical methods, and stress testing strategies is essential. Experience with derivatives and financial instruments across various asset classes is also highly valued.