Manager | Market Risk Quant | Hyderabad | Regulatory & Financial Risk
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Posted on:
Yesterday
Vacancies:
1 Vacancy
Job Summary
Manager Regulatory Risk & Forensic Regulatory and Financial Risk Credit Risk
- Location: Hyderabad
- Entity: Deloitte Touche Tohmatsu India LLP
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
- Desired qualifications
- Masters degree or higher in Quantitative Finance Statistics Mathematics Engineering or related field
- 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
- 6 to 9 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
Required Experience:
Manager
About Company
Deloitte Touche Tohmatsu Limited, commonly referred to as Deloitte, is a multinational professional services network. Deloitte is one of the "Big Four" accounting organizations and the largest professional services network in the world by revenue and number of professionals with headq ... View more
