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

Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft; Bengaluru; On-site; INR 3,000,000 - 6,000,000; Full time

Job summary

Deloitte Strategy, Risk & Transaction in Bengaluru, India seeks a Senior Market Risk Quant to develop and validate models across FRTB IMA/SA, Basel 2.5, VaR and CVA. You will conduct independent model reviews, back-testing and stress testing to support regulatory reporting and risk management decision-making.

The role requires 10–12 years of experience in market risk modelling, strong knowledge of stochastic calculus, and proficiency in risk metrics such as VaR and Expected Shortfall.

Qualifications

• Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or a related field.
• Certifications: FRM, CFA, CQF are a plus.
• 10–12 years of experience in Market Risk models: VaR, RNIV, IRC, SA-CVA, FRTB models: SA, IMA.
• Experience in Stress testing: CCAR, DFAST, ICAAP.
• Strong understanding of Market Risk metrics: VaR, Expected Shortfall, sensitivities, FRTB, back-testing.
• Knowledge of stochastic calculus, probability theory, numerical methods and statistical tests (ADF, KPSS, Durbin-Watson).
• Experience in scenario analysis and risk management strategies.
• Experience with derivatives across equities, fixed income, FX, commodities.

Responsibilities

• Develop, review and validate Market Risk models (FRTB IMA/SA, Basel 2.5), CCAR, DFAST and pricing models.
• Conduct independent reviews and validation of Market Risk Models (VaR, ES, sensitivities).
• Perform stress testing, benchmarking, sensitivity analysis and back-testing.
• Assess model inputs, outputs and assumptions; ensure methodological soundness.
• Prepare validation and model risk reports aligned with SR 11-7, ECB, PRA.

Skills

Quantitative finance

Market risk

Stochastic calculus

Statistical methods

Back-testing

Model validation

Risk management

Regulatory reporting

Probability theory

Derivatives risk

Education

Master’s degree in quantitative finance or related field

FRM

CFA

CQF

Job description

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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)

Skills

• Master’s degree in quantitative finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or a related field
• Others - Certifications: FRM, CFA, CQF are a plus
• The candidates will be required to have sound knowledge and close to 10-12 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