Join a dynamic team focused on mitigating risk and uncovering opportunities within Deloitte's Strategy, Risk & Transaction division. This role is pivotal in enhancing our end-to-end risk services, from strategic oversight to cybersecurity. We are seeking a skilled Market Risk Quant to contribute to model development and validation, specializing in critical areas like FRTB, Counterparty Credit Risk, and pricing models.

This position requires a strong background in statistical modeling, quantitative research, and a deep understanding of financial markets and risk management. You will play a key role in assessing and validating complex financial models, ensuring compliance with regulatory standards and contributing to the firm's robust risk framework.

Develop, review, and validate a range of critical financial models including Market Risk (FRTB IMA, SA and Basel 2.5), Counterparty Credit Risk, and Pricing models. Conduct thorough independent reviews of model inputs, assumptions, and conceptual soundness. Perform comprehensive performance testing, benchmarking, sensitivity analysis, and back-testing. Identify and report on potential model risks and recommend remediation actions. Prepare detailed validation and model risk reports aligned with stringent regulatory expectations like SR 11-7, ECB, and PRA.

A Master’s degree in a quantitative field such as Finance, Mathematics, Statistics, Economics, or Engineering is required, an MBA is also acceptable. Candidates must possess 2-7 years of hands-on experience in Market Risk models (VaR, FRTB, etc.), Stress testing and Capital models (CCAR, ICAAP), or Counterparty Credit Risk models (CCR, XVA, margin models). A strong grasp of market risk and CCR metrics, stochastic calculus, probability theory, numerical methods, and statistical techniques is essential. Familiarity with derivatives and financial instruments across various asset classes is also expected. Certifications like FRM, CFA, or CQF are considered a plus.