Job Title: Assistant Manager | Quants | Chennai | Regulatory & Financial Risk
India’s impact on the global economy has increased at an exponential rate and Deloitte presents an opportunity to unleash and realise your potential amongst cutting edge leaders, and organisations shaping the future of the region, and indeed, the world beyond.
At Deloitte, your whole self to work, every day. Combine that with our drive to propel with purpose and you have the perfect playground to collaborate, innovate, grow, and make an impact that matters.
The team
Assurance is about much more than just the numbers. It’s about attesting to accomplishments and challenges and helping to assure strong foundations for future aspirations. Deloitte exemplifies the what, how, and why of change so you’re always ready to act ahead. Learn more about Audit & Assurance Practice
Your work profile
As a Assistant Manager in our SRT Team you’ll build and nurture positive working relationships with teams and clients with the intention to exceed client expectations: -
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 model development and independent reviews/validation of the
Market Risk (FRTB and Basel 2.5)/Pricing/Counterparty Credit Risk/Stress Testing models
- Analyze market risk metrics such as VaR, Expected Shortfall and Derivative Sensitivities.
- Key responsibilities include assessment of model inputs & outputs, understanding/justification of the conceptual soundness of the methodologies implemented, identification/assessment of assumptions of models, performance testing, model implementation, risk remediation, reviewing/documenting comprehensive model reports compliant to SR 11-7 standards.
Skills
- The candidates will be required to have sound knowledge and close to 2-5 years of experience in either of below areas.
- Market Risk models: VaR / RNIV models, IRC, SA-CVA, FRTB models: SA, IMA
- Stress testing: CCAR, DFAST, ICAAP
- CCR: SACCR, XVA models, Risk factor simulation models, margin models like IM, VM, SIMM
- Derivative Pricing models: across asset classes (Rates, Credit, Equity, FX and Hybrids)
- Strong knowledge of Market Risk Concepts and metrics (VaR/Value at Risk, Risk Sensitivities, FRTB, VaR backtesting)
- Proficiency in Stochastic Calculus and hands on experience with models like Hull & White 1F/2F, SABR, Local Volatility, etc.
- Understanding of Mathematical Finance, change of measure, probability theory, numerical techniques
- Knowledge of risk management strategies – including derivative (Futures/Forwards, Options, Swaps)
- Knowledge of financial instruments, including equities, fixed income, FX, and commodities
- Stress testing and Scenario Analysis
- Understanding of Regulatory banking risk management guidelines, risk management practices, guidelines for model risk management, such as SR 11-7, etc.
- Strong development/testing experience using Python, C++, R, SQL, R, Python, VBA etc.
- Strong communication and documentation skills
Desired qualifications
- Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field
- 2–12+ 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
- 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
Location and way of working
- Base location: Chennai
- Hybrid is our default way of working. Each domain has customised the hybrid approach to their unique needs.
Your role as a Assistant Manager
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.
In addition to living our purpose, Assistant Manager across our organization must strive to be:
- Model Lifecycle Responsibility: Experience with either model development or model validation activities, ensuring robust model design, accurate performance assessment, and compliance with risk management frameworks and regulatory standards.
- Model Development: Responsible for designing, building, and maintaining quantitative models across various domains including business forecasting, pricing, risk assessment models, AML etc. Work spans multiple asset classes and business lines, leveraging advanced mathematical techniques such as stochastic processes, optimization, and statistical inference to address complex modelling challenges.
- Model Validation: The specialist will be responsible for the independent quantitative review and rigorous challenge of all models across domains. This involves verifying conceptual soundness, assessing model assumptions, and evaluating implementation accuracy. Key activities include statistical performance testing, scenario analysis, sensitivity testing, and back-testing to ensure models meet defined risk coverage objectives and adhere to internal model risk management frameworks and regulatory expectations, while maintaining computational and operational viability.
- Ongoing Monitoring Review: Responsible for periodically substantiating the ongoing fitness of models in accordance with a model’s approved Ongoing Monitoring Plan (“OMP”). Assess model changes, model limitations, assumptions, process verification and outcomes analysis for each model. Identify trends in key metrics and provide critical analysis of model performance with respect to metric thresholds; identify threshold breaches and review documented remediation plans.
How you’ll grow
Connect for impact
Our exceptional team of professionals across the globe are solving some of the world’s most complex business problems, as well as directly supporting our communities, the planet, and each other. Know more in our Global Impact Report and our India Impact Report.
Empower to lead
You can be a leader irrespective of your career level. Our colleagues are characterised by their ability to inspire, support, and provide opportunities for people to deliver their best and grow both as professionals and human beings. Know more about Deloitte and our One Young World partnership.
Inclusion for all
At Deloitte, people are valued and respected for who they are and are trusted to add value to their clients, teams and communities in a way that reflects their own unique capabilities. Know more about everyday steps that you can take to be more inclusive. At Deloitte, we believe in the unique skills, attitude and potential each and every one of us brings to the table to make an impact that matters.
Drive your career
At Deloitte, you are encouraged to take ownership of your career. We recognise there is no one size fits all career path, and global, cross-business mobility and up / re-skilling are all within the range of possibilities to shape a unique and fulfilling career. Know more about Life at Deloitte.
Everyone’s welcome… entrust your happiness to us
Our workspaces and initiatives are geared towards your 360-degree happiness. This includes specific needs you may have in terms of accessibility, flexibility, safety and security, and caregiving. Here’s a glimpse of things that are in store for you.
Interview tips
We want job seekers exploring opportunities at Deloitte to feel prepared, confident and comfortable. To help you with your interview, we suggest that you do your research, know some background about the organisation and the business area you’re applying to. Check out recruiting tips from Deloitte professionals.