Deputy Manager | Market Risk Quants | Delhi | Regulatory & Financial Risk • Job requisition ID : 104763 • Location: Delhi • 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 • 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 • Desired qualifications • 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