Join our Deloitte Strategy, Risk & Transaction team as a Market Risk Quant in Hyderabad. This role is pivotal in supporting model development and validation for market and counterparty credit risk.

You will be instrumental in developing, reviewing, and validating critical risk models including FRTB IMA, SA, Basel 2.5, Counterparty Credit Risk (CCR) models, and pricing models. A strong background in statistical modelling, quantitative research, stochastic calculus, and market risk management is essential.

This is an excellent opportunity to contribute to mitigating risk and discovering new avenues for value creation within a leading financial risk services domain.

Conduct independent reviews and validation of Market Risk Models (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities) and Counterparty Credit Risk Models. This includes IMM/internal exposure models (EPE, EE, PFE), XVA, and Margin models (DIM, SIMM).

Evaluate model inputs, outputs, and assumptions, assessing conceptual soundness and methodological appropriateness. Perform essential testing such as performance, benchmarking, sensitivity analysis, and back-testing.

Review model implementation, identify potential risks, and propose remediation actions. Prepare comprehensive validation and model risk reports that adhere to regulatory standards like SR 11-7, ECB, and PRA.

A Master’s degree in a quantitative field such as Finance, Financial Mathematics, Statistics, Economics, Engineering, or an MBA is required. We seek candidates with 5-8 years of relevant experience in areas like Market Risk (VaR/RNIV models, IRC, SA-CVA, FRTB), Stress testing and Capital models (CCAR, DFAST, ICAAP), or CCR (SACCR, XVA, margin/exposure models).

Candidates should possess a robust understanding of Market and CCR metrics, stochastic calculus, probability theory, numerical methods, statistical techniques, and risk management strategies. Familiarity with derivatives and financial instruments across various asset classes is also expected.

Additional certifications like FRM, CFA, or CQF are considered a plus.