Deputy Manager | Credit Risk | Delhi | Regulatory & Financial Risk

Deputy Manager Regulatory Risk & Forensic Regulatory and Financial Risk Credit Risk Quants

• Location: Gurgaon

The Team

Deloitte Strategy Risk & Transaction helps entities mitigate risk while discovering new opportunities to create value. Our end-to-end risk services span all domains from managing strategic risks in the C-Suite to improving board oversight and from balancing financial and environmental policies to addressing cyber threats. Learn more about Risk Regulatory & Forensic)

Your work profile

• Perform independent validation of Advanced IRB / Foundation IRB models including:
• PD LGD EAD and CCF modelling methodologies
• Rating system design and performance
• RWA attribution and capital impact assessment
• Assess model methodologies and assumptions for diverse wholesale product exposures including:
• Corporate and SME lending (term loans revolving credit working capital facilities)
• Project and infrastructure finance
• Financial institutions & sovereign portfolios
• Commercial Real Estate (CRE) and income-producing real estate
• Trade finance supply chain and asset-based lending
• Leveraged finance and private capital exposures
• Evaluate model conceptual soundness data representativeness risk differentiation and calibration methodology
• Review and challenge:
• Model segmentation overrides downturn calibration and economic cycle considerations
• Treatment of collateral guarantees credit mitigants and default definitions
• Regulatory compliance with Basel III/IV IRB requirements and regional supervisory rules
• Conduct model performance testing including:
• Discriminatory power back-testing stability monitoring sensitivity and benchmarking
• Prepare high-quality validation documentation with clear findings limitations and remediation actions
• Support regulatory engagements addressing model findings remediation evidence and audit requests
• Partner with Model Development Credit Policy Data Governance and Capital Management teams to ensure models are fit-for-purpose and well-controlled

Key skills required:

• Experience with Corporate lending project finance commercial real estate private equity exposures
• Stress testing frameworks (CCAR/ICAAP) and IRB-to-IFRS 9 model linkages
• Regulatory interactions with PRA ECB Fed/OCC OSFI etc.
• Ability to articulate quantitative findings to non-technical senior stakeholders
• Core Competencies
• Effective challenge and independent risk oversight mindset
• High attention to detail and documentation discipline
• Stakeholder influencing and relationship management
• Ability to manage multiple validations under tight timelines
• Experience in modelling or validation of Wholesale IRB capital models IFRS9 Climate Risk Modelling experience within large banking organizations
• Strong technical skills in Python R SAS SQL and knowledge of credit modelling statistics
• Deep knowledge of:
• IRB rating system architecture and approvals
• Basel III/IV capital rules for wholesale credit
• Model risk governance expectations (e.g. SR 11-7)
• Strong analytical judgment and written communication skills
• Desired qualifications Masters degree or higher in Quantitative Finance Statistics Mathematics Engineering or related field
• 4 to 6 years of experience in modelling or validation of Wholesale IRB capital models IFRS9 Climate Risk Modelling experience within large banking organizations
• Strong technical skills in Python R SAS SQL and knowledge of credit modelling statistics