Join a leading team in Deloitte's Strategy, Risk & Transaction division, focusing on mitigating risk and uncovering opportunities for value creation. This role is pivotal in enhancing our end-to-end risk services.

We are seeking a skilled Market Risk Quant to contribute to model development and validation. This position involves the creation, review, and validation of sophisticated models for Market Risk (including FRTB IMA, SA, and Basel 2.5), Counterparty Credit Risk, and Pricing. A strong background in statistical modeling, quantitative research, stochastic calculus, market risk management, and FRTB is essential.

Key responsibilities include conducting independent reviews and validation of various risk models such as Market Risk (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities) and Counterparty Credit Risk (IMM / internal exposure models like EPE, EE, PFE, XVA models, Margin models including DIM, SIMM).

Further duties involve assessing model inputs, outputs, and assumptions, evaluating conceptual soundness, and performing performance testing, benchmarking, sensitivity analysis, and back-testing. You will also review model implementation, identify potential risks, and prepare comprehensive reports aligned with regulatory standards like SR 11-7, ECB, and PRA.

Candidates should possess a Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, or an MBA, along with 5-8 years of relevant experience. A deep understanding of market risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing) and CCR metrics (EPE, EE, PFE, EAD, SA-CCR, margin models) is required.

Strong foundational knowledge in stochastic calculus, probability theory, numerical methods, statistical tests, and risk management strategies is crucial. Experience with derivatives and financial instruments across equities, fixed income, FX, and commodities is also highly valued. Certifications such as FRM, CFA, or CQF are considered a plus.