Join Deloitte's Regulatory & Financial Risk team in Kolkata as a Deputy Manager, Credit Risk Quant. This role is integral to validating advanced IRB/Foundation IRB models, covering critical aspects like PD, LGD, EAD, and CCF methodologies. You will assess model assumptions and design for diverse wholesale exposures, ensuring regulatory compliance and robust model performance.

This position offers an excellent opportunity to contribute to risk mitigation strategies and value creation within a leading global professional services organization. You'll collaborate with various teams to ensure models are fit-for-purpose and well-controlled, directly impacting the firm's risk management framework.

Independently validate Advanced IRB / Foundation IRB models, including PD, LGD, EAD, and CCF methodologies, rating system design, RWA attribution, and capital impact assessment.

Assess model assumptions and methodologies for wholesale product exposures like corporate lending, project finance, financial institutions, CRE, trade finance, and leveraged finance.

Evaluate model conceptual soundness, data representativeness, risk differentiation, and calibration, while reviewing segmentation, downturn calibration, and the treatment of collateral and mitigants.

Ensure compliance with Basel III/IV IRB requirements and regional supervisory rules, conducting model performance testing and preparing high-quality validation documentation with clear findings and remediation actions.

Support regulatory engagements, address model findings, and collaborate with Model Development, Credit Policy, and Data Governance teams.

Required qualifications include 4 to 6 years of experience in modelling or validation of Wholesale IRB capital models, IFRS9, or Climate Risk Modelling within large banking organizations.

Key skills encompass experience with corporate lending, project finance, commercial real estate, and private equity exposures, alongside familiarity with stress testing frameworks (CCAR/ICAAP) and IRB-to-IFRS 9 model linkages.

Candidates must possess strong technical proficiency in Python, R, SAS, and SQL, with a deep understanding of IRB rating system architecture, Basel III/IV capital rules for wholesale credit, and model risk governance expectations (e.g., SR 11-7).

We seek individuals with an effective challenge and independent risk oversight mindset, high attention to detail, strong analytical judgment, and excellent written communication skills. A Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or a related field is desired.