Join a dynamic team at Deloitte Strategy, Risk & Transaction focused on mitigating risk and uncovering new avenues for value creation. This role is crucial in supporting model development and validation for market risk, counterparty credit risk, and pricing models, aligning with regulatory frameworks such as FRTB and Basel 2.5. Bring your expertise in quantitative research and financial modelling to a position where you will play a key role in enhancing our risk management capabilities.

This position is central to our mission of providing end-to-end risk services. You will engage in the development, review, and validation of sophisticated models. The work involves assessing model integrity, performing rigorous testing, and communicating findings through comprehensive reports that meet stringent regulatory standards.

Develop, review, and validate market risk models, including FRTB (IMA, SA), Basel 2.5, VaR, and Expected Shortfall.

Validate counterparty credit risk models, such as IMM/internal exposure models (EPE, EE, PFE), XVA, and margin models (DIM, SIMM).

Conduct independent reviews of stress testing models, including CCAR, DFAST, and ICAAP.

Assess model inputs, outputs, assumptions, and evaluate conceptual soundness.

Execute performance testing, benchmarking, sensitivity analysis, and back-testing.

Review model implementation for potential risks and propose remediation.

Prepare detailed validation and model risk reports aligned with regulatory expectations (e.g., SR 11-7, ECB, PRA).

Requires a Master's degree in a quantitative field such as finance, financial mathematics, statistics, economics, engineering, or an MBA.

Possess 5-8 years of relevant professional experience in quantitative finance and risk management.

Demonstrate sound knowledge and 2-7 years of experience in market risk models (VaR, RNIV, IRC, SA-CVA, FRTB models), stress testing/capital models (CCAR, DFAST, ICAAP), or counterparty credit risk (SACCR, XVA, margin, exposure models).

Exhibit a strong understanding of market and counterparty credit risk metrics, stochastic calculus, probability theory, numerical methods, and statistical techniques.

Familiarity with derivatives, financial instruments across various asset classes, and risk management strategies is essential. Certifications like FRM, CFA, or CQF are advantageous.