Deloitte
Location
Bangalore | India
Job description
Deloitte is hiring in Risk Advisory for Market Risk , Valuations and Basel IV. At Deloitte, we are committed to building exceptional teams focused on innovation and value creation for our clients.
Our growing Risk Advisory team in Mumbai, Pune, Chennai & Bangalore is currently scouting for talented individuals with experience in Market Risk Quant , FO pricing or Basel IV. Employment Type: Full Time Permanent Location: Mumbai Pune ,Bangalore, Chennai Designation : Assistant Manager to Manager ( 4-12years) Notice Period – 0-2 months Summary : The Model Development and Validation Analyst responsible for developing, calibrating, and validating models used for market risk, liquidity risk, and stress testing purposes. The successful candidate should have a strong understanding of financial modeling techniques, statistical analysis, and risk management principles. Strong understanding of statistical methods, including regression analysis, time series analysis, and Bayesian statistics. He/she should be able to work independently and as part of a team and will have excellent communication and problem-solving skills. Key Responsibilities: Market Risk Model Development or Validation experience covering Value at Risk (VaR), Stress VaR (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products, VaR mapping, back-testing VaR, Expected Shortfall, Market risk Stress testing Loss estimation, RWA calculation, Sensitivity & Scenario analysis and other coherent risk measures, modeling dependence: correlations and copulas, term structure models of interest rates, and volatility modeling • Understanding of the Fundamental Review of the Trading Book (FRTB) regulations, specifically expertise in the Internal Models Approach (IMA) and the Standardized Approach (SA). • Demonstrated experience in development/validation of quantitative models within the banking sector, aligning with FRTB standards, particularly in market risk modeling. Model development : * Develop and implement models for measuring market risk, liquidity risk, and stress testing scenarios * Document all aspects of model development, including data preparation, feature engineering, model training, and evaluation * Calibrate and validate models using historical data, market data, and other relevant information. Model Validation : * Execute test plans to identify potential issues with models. * Analyze test results and provide feedback to model developers. * Experience with financial data and econometric models * Work with model developers to improve the accuracy and robustness of models. * Document all aspects of model validation, including test plans, test results, and feedback to model developers. Education Any Graduate/ Post Graduate Only candidates with relevant experience to apply onJob tags
Salary
