Manager Financial Risk Bengaluru Regulatory & Financial Risk

Deloitte India (South Asia) · Consulting & Professional Services

Bengaluru, India
On-site
Posted today
Closes today
Finance & Accounting

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About the job

The Team

Discover the various Financial Risk services, we offer to help organizations across the full life cycle of financial transaction. From governance and processes to technology and reporting, our services can enhance transparency, efficiency, compliance and financial integrity.

Work you’ll do

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. Candidate must have relevant experience in statistical modelling, quantitative research, stochastic calculus, market risk management, FRTB or any other related field.

Conducting independent reviews and validation of:

Market Risk Models (FRTB – IMA & SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities)

Counterparty Credit Risk Models, including IMM / internal exposure models (EPE, EE, PFE), XVA models, Margin models (DIM, SIMM)

Stress Testing Models (CCAR, DFAST, ICAAP)

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)

Skills

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

The candidate should have strong understanding of:

Market Risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing)

CCR metrics (EPE, EE, PFE, EAD, SA-CCR, margin models)

Stochastic calculus, probability theory, change of measure, numerical methods Statistical techniques and tests (ADF, KPSS, Durbin-Watson, etc.)

Stress testing, scenario analysis, and risk management strategies

Derivatives and financial instruments across equities, fixed income, FX, and commodities

Regulatory and model risk management frameworks (SR 11-7 and global regulatory standards)

Strong programming and analytical skills using Python, C++, R, SQL, VBA

Excellent communication, documentation, and stakeholder management skills

Job Purpose

Within the SRT practice, risk quants are responsible for developing methodologies and validating methodologies for risk models including value-at-risk, expected shortfall, Exposure model, XVA and capital. Candidate will join the Regulatory and Financial Risk team that partakes in model development over the full life-cycle of models: from methodology to design to local implementation and validation. More specifically the candidate will support validation activities related to a wide spectrum of businesses, including Interest Rates, FX, Equities, XVA, Banking, and Securitized Products.

Qualifications

Master’s Degree in Quantitative Finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or a related field

Others - Certifications: FRM, CFA, CQF are a plus

Your role as a leader

At Deloitte India, we believe in the importance of leadership at all levels. We expect our people to embrace and live our purpose by challenging themselves to identify issues that are most important for our clients, our people, and for society and make an impact that matters.

In addition to living our purpose, Consultant or Assistant Manager across our organization:

Builds own understanding of our purpose and values; explores opportunities for impact

Demonstrates strong commitment to personal learning and development; acts as a brand ambassador to help attract top talent

Understands expectations and demonstrates personal accountability for keeping performance on track

Actively focuses on developing effective communication and relationship-building skills

Understands how their daily work contributes to the priorities of the team and the business

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