Deloitte | Manager | Credit Risk Quant | Chennai | Regulatory & Financial Risk

Your work profile

• The Team Deloitte Strategy, Risk & Transaction helps entities mitigate risk while discovering new opportunities to create value.
• We are seeking a Market Risk Quant to support model development and validation.
• The role involves developing, reviewing/validating Market Risk (FRTB IMA, SA and Basel 2.5), Counterparty Credit Risk and Pricing models.
• Assess model inputs, outputs, and assumptions; evaluate conceptual soundness and methodological appropriateness.
• Perform performance testing, benchmarking, sensitivity analysis, and back-testing.
• Review model implementation and identify potential model risks and remediation actions.
• Prepare and review comprehensive validation and model risk reports aligned with regulatory expectations (e.g., SR 11-7, ECB, PRA).

Key skills required

• Candidate must have relevant experience in statistical modelling, quantitative research, stochastic calculus, market risk management, FRTB or any other related field.
• Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or a related field Others.
• Certifications: FRM, CFA, CQF are a plus.
• The candidates will be required to have sound knowledge and close to 2-7 years of experience in either of the areas below.
• Market Risk models: VaR / RNIV models, IRC, SA-CVA, FRTB models: SA, IMA Stress testing and Capital models: CCAR, DFAST, ICAAP CCR: SACCR, XVA models, Risk factor simulation models, margin models like IM, VM, SIMM, Exposure models.

Deloitte

Deloitte is one of the Big Four professional services networks, offering audit and assurance, tax, consulting, financial advisory and risk advisory services. The firm traces its roots to William Welch Deloitte, who opened an accounting practice in London in 1845.

In India, Deloitte works through member firms such as Deloitte Haskins & Sells LLP and Deloitte Touche Tohmatsu India LLP. Both are among the largest recruiters of chartered accountants for audit, tax, risk advisory, transactions and consulting roles.

• Industry: Audit, tax, consulting and advisory (Big Four)
• Headquarters: London, UK
• In India: Deloitte member firms in India with offices in major cities