Join Deloitte's Regulatory & Financial Risk team as a Credit Risk Quant Manager in Delhi. This role is integral to mitigating risk and driving value through expert risk services. You will contribute to our Strategy, Risk & Transaction practice, focusing on robust model development and validation.

Our team offers comprehensive risk solutions, from strategic C-suite challenges to cyber threat management. We are committed to enhancing board oversight and balancing financial and environmental policies, providing a dynamic environment for professionals in risk, regulatory, and forensic domains.

Develop, review, and validate sophisticated Market Risk models, including FRTB (IMA, SA) and Basel 2.5 frameworks. You will also be instrumental in validating Counterparty Credit Risk and Pricing models. This includes assessing model inputs, outputs, and assumptions, ensuring conceptual soundness and methodological appropriateness.

Key responsibilities involve performing performance testing, benchmarking, sensitivity analysis, and back-testing. You will also review model implementation, identify potential risks, and propose remediation actions. Preparing and reviewing detailed validation and model risk reports that align with regulatory expectations (e.g., SR 11-7, ECB, PRA) is crucial.

We are seeking a candidate with a Master’s degree in quantitative finance, financial mathematics, statistics, economics, engineering, or an MBA, backed by 5-8 years of mandatory relevant experience. Strong proficiency in market risk metrics like VaR, Expected Shortfall, sensitivities, FRTB, and back-testing is essential.

Candidates must possess a deep understanding of counterparty credit risk metrics (EPE, EE, PFE, EAD, SA-CCR, margin models), stochastic calculus, probability theory, and numerical methods. Familiarity with statistical techniques, stress testing, scenario analysis, risk management strategies, and derivatives across various asset classes is also required. Experience in specific areas such as FRTB models, capital models (CCAR, DFAST, ICAAP), or CCR models (XVA, SIMM) is highly valued.