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

Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft; Bengaluru; On-site; INR 1,500,000 - 2,800,000; Full time

Job summary

Deloitte Touche Tohmatsu India LLP in Bengaluru seeks a Market Risk Quant to develop and validate risk models including FRTB IMA/SA, Basel 2.5, VaR and ES. You will review model inputs and perform back-testing and benchmarking in a regulatory context.

The role requires a Master’s in a quantitative field and 5–8 years of relevant experience, with FRM/CFA/CQF a plus. Strong analytical and communication skills are essential for coordinating with risk teams and regulators.

Qualifications

• Master’s degree in quantitative finance, financial mathematics, statistics, economics, engineering, MBA or related field.
• 5-8 years of relevant experience in market risk quantification and validation.
• Certifications such as FRM, CFA, CQF are a plus.

Responsibilities

• Develop, review and validate Market Risk models (FRTB IMA/SA, Basel 2.5, VaR, ES, sensitivities).
• Conduct independent reviews and validation of market risk models and stress tests.
• Assess model inputs, outputs and assumptions for soundness and methodology.
• Perform performance testing, benchmarking, sensitivity analysis and back-testing.
• Review model implementation and identify risks and remediation actions.
• Prepare validation and model risk reports aligned with regulatory expectations (SR 11-7, ECB, PRA).
• Engage in deep dives on derivatives across equities, fixed income, FX and commodities.

Skills

Statistical modelling

Quantitative research

Stochastic calculus

Market risk management

Model risk awareness

Education

Master’s degree in quantitative finance

Tools

FRTB models (IMA/SA)

VaR / Expected Shortfall

CCAR / DFAST / ICAAP

Job description

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

Job requisition ID : 114051

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)

• 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)
• 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)
• Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or a related field
• 5-8 Years of relevant experience
• 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
• The candidate should have strong understanding of: Market Risk metrics (VaR, Expected Shortfall, sensitivities, FRTB, back-testing)
• 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 Strategy