Join our dynamic team as a Manager in Model Validation Quant, focusing on Counterparty Credit Risk and regulatory frameworks. This role is based in Hyderabad and offers a challenging opportunity within Regulatory & Financial Risk.

Deloitte's Strategy, Risk & Transaction practice empowers entities to navigate risks and uncover new avenues for value creation. Our comprehensive risk services cover strategic decision-making, board oversight, financial and environmental policy alignment, and cybersecurity.

We are actively seeking a Market Risk Quant to bolster our model development and validation efforts. The position entails developing, reviewing, and validating critical models, including those for Market Risk (FRTB IMA, SA, and Basel 2.5), Counterparty Credit Risk, and Pricing. Essential qualifications include demonstrable experience in statistical modeling, quantitative research, stochastic calculus, market risk management, and FRTB or related domains.

Conduct thorough independent reviews and validation of Market Risk Models (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities).

Validate Counterparty Credit Risk Models, encompassing IMM/internal exposure models (EPE, EE, PFE), XVA models, and Margin models (DIM, SIMM).

Assess Stress Testing Models for frameworks such as CCAR, DFAST, and ICAAP.

Evaluate model inputs, outputs, and assumptions, ensuring conceptual soundness and methodological appropriateness.

Perform performance testing, benchmarking, sensitivity analysis, and back-testing to gauge model efficacy.

Review model implementation processes, identifying potential risks and recommending remediation strategies.

Generate and refine comprehensive validation and model risk reports, adhering to stringent regulatory guidelines (e.g., SR 11-7, ECB, PRA).

A Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, or an MBA is required.

We seek candidates with 5-8 years of pertinent professional experience.

Candidates should possess strong knowledge and approximately 2-7 years of experience in Market Risk models (VaR/RNIV, IRC, SA-CVA, FRTB: SA/IMA), Stress Testing and Capital models (CCAR, DFAST, ICAAP), or Counterparty Credit Risk (SACCR, XVA, Risk factor simulation, Margin models like IM/VM/SIMM, Exposure models).

A solid understanding of Market Risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing) and CCR metrics (EPE, EE, PFE, EAD, SA-CCR, margin models) is essential.

Proficiency in stochastic calculus, probability theory, change of measure, numerical methods, and statistical techniques (e.g., ADF, KPSS, Durbin-Watson) is necessary.

Familiarity with stress testing, scenario analysis, and risk management strategies, alongside a good grasp of derivatives and financial instruments across equities, fixed income, FX, and commodities, is expected.