Deputy Manager | Credit Risk | Delhi | Regulatory & Financial Risk

• Job requisition ID : 104764 

• Location: Delhi

• Entity: Deloitte Touche Tohmatsu India LLP 

Deputy Manager | Regulatory, Risk & Forensic – Regulatory and Financial Risk | Credit Risk Quants

Location:  Gurgaon

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)

Your work profile

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

Conduct model performance testing including:

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

Key skills required: 

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

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