Manager | Model Validation Quant - CCR | Bangalore | Regulatory & Financial Risk

• Job requisition ID : 103181 

• 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)

Your work profile

Supporting on formalizing and documenting CCR testing framework to be followed for model validation.:

Review current framework and identify the areas of enhancement

List down structured set of tests, validations and controls to be applied to ensure that CCR models are fit for purpose, regulatory compliant and risk sensitive 

Ensure that an end to end testing procedure is created and documented in following areas :.

Model methodology testing involving assumption testing, risk sensitivity testing (greeks vs exposure response) etc

Input data testing involving market data quality, CSA/collateral data, netting set information etc

Exposure profile testing, Back testing and benchmarking 

Regulatory testing as per Basel requirements and capital impact validation

Key skills required: 

Minimum 5-8 years of relevant experience

Desired qualifications Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field

In order to be considered for the role, your competencies will cover the broad scope of business modelling services, leveraging your professional background and skills such as:-

Strong quantitative and statistical skills with experience of previously working within areas of CCR or market risk.

Experience in risk model validation.

Able to communicate effectively, both orally and in writing, with multiple stakeholders.

Excellent time management and planning skills with experience of working under pressure.

Ability to remain organized and able to prioritize multiple incident priorities.

Highest standards of personal integrity, professional conduct and ethics.

Excellent inter-personal skills with experience of briefing, de-briefing and presenting to senior stakeholders and having effective listening skills.

Adept at using MS Office and other software packages.

Governance and monitoring

Liaise with business stakeholders and understand specific ask for any specific set of models