Join our dynamic team as a Market Risk Quant in Kolkata, contributing to the development and validation of sophisticated risk models. This role is central to our Regulatory & Financial Risk division, where you'll work on cutting-edge quantitative analysis.

Deloitte Strategy, Risk & Transaction empowers entities to navigate risks and uncover new avenues for value creation. Our comprehensive risk services cover strategic C-suite challenges, board oversight enhancement, financial and environmental policy balancing, and cybersecurity threat mitigation. Explore our expertise in Risk, Regulatory & Forensic services.

This position involves developing, reviewing, and validating Market Risk (FRTB IMA, SA and Basel 2.5), Counterparty Credit Risk, and Pricing models. Key responsibilities include conducting independent reviews of Market Risk Models (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities), Counterparty Credit Risk Models (including IMM / internal exposure models like EPE, EE, PFE, XVA models, Margin models like DIM, SIMM), and Stress Testing Models (CCAR, DFAST, ICAAP).

You will assess model inputs, outputs, and assumptions, evaluate conceptual soundness, and perform performance testing, benchmarking, sensitivity analysis, and back-testing. The role also requires reviewing model implementation, identifying potential risks, and preparing comprehensive validation and model risk reports in alignment with regulatory standards (e.g., SR 11-7, ECB, PRA).

We are seeking a candidate with a Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, MBA, or a related field, possessing 5-8 years of mandatory 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 possess sound knowledge and 2-7 years of experience in at least one of the following areas: Market Risk models (VaR/RNIV models, IRC, SA-CVA, FRTB models: SA, IMA), Stress testing and Capital models (CCAR, DFAST, ICAAP), or CCR (SACCR, XVA models, Risk factor simulation models, margin models like IM, VM, SIMM, Exposure models).

Proficiency in stochastic calculus, probability theory, change of measure, numerical methods, statistical techniques (ADF, KPSS, Durbin-Watson, etc.), stress testing, scenario analysis, and risk management strategies is expected. Familiarity with derivatives and financial instruments across equities, fixed income, FX, and commodities is also required. Certifications such as FRM, CFA, or CQF are considered a plus.