Deputy Manager | Credit Risk Quant | Bengaluru | Regulatory & Financial Risk

Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft; Bengaluru; On-site; INR 1,800,000 - 2,400,000; Full time

Job summary

Deloitte Touche Tohmatsu India LLP in Bengaluru seeks a Deputy Manager for Credit Risk Quant to validate Wholesale IRB models, align with Basel III/IV rules, and communicate findings to leadership. You will collaborate with Model Development, Credit Policy, and Data Governance teams to ensure robust risk assessments.

The role requires 4–6 years’ experience in IRB modelling/validation and strong Python, R, SAS, SQL skills, with a Master’s or higher in a quantitative field.

Qualifications

• 4–6 years of experience in modelling or validation of Wholesale IRB capital models, IFRS9, climate risk.
• Strong technical skills in Python, R, SAS, SQL and knowledge of credit modelling statistics.
• Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field.

Responsibilities

• Perform independent validation of Advanced IRB / Foundation IRB models including PD, LGD, EAD, and CCF.
• Review regulatory compliance with Basel III/IV IRB requirements and regional supervisory rules.
• 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.

Skills

Python

R

SAS

SQL

IRB modelling

Model validation

Quantitative analysis

Education

Master’s degree in Quantitative Finance

Statistics

Mathematics

Engineering

Job description

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Deputy Manager | Credit Risk Quant | Bengaluru | Regulatory & Financial Risk

Job requisition ID : 114055

Location : Bengaluru

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)

• 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
• 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
• 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
• 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 Master’s 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