Model Risk Management- Pricing
About
At Deloitte, we do not offer you just a job, but a career in the highly sought-after risk management field. We are business leaders in the risk market and work with a vision to make the world more prosperous, trustworthy, and safe. Our clients, primarily based outside of India, are large, complex organizations that constantly evolve and innovate to build better products and services. In the process, they encounter various risks and the work we do to help them address these risks is increasingly important to their success – and to the strength of the economy and public security.
By joining us, you will get to work with diverse teams of professionals who design, manage, and implement risk-centric solutions across a variety of domains. In the process, you will gain exposure to the challenges related to risk management faced in today’s world by organizations across a range of industry sectors and become subject matter experts in those areas.
Our Risk and Financial Advisory services professionals help organizations effectively navigate business risks and opportunities – from strategic, reputation, and financial risks to operational, cyber, and regulatory risks – to gain competitive advantage. We apply our experience in ongoing business operations and corporate lifecycle events to help clients become stronger and more resilient. Our market-leading teams help clients embrace complexity to accelerate performance, disrupt through innovation, and lead in their industries. We use cutting-edge technologies like AI/ML techniques, analytics, and risk process automation (RPA) to solve Deloitte’s clients’ most complex issues. Working in Risk and Financial Advisory at Deloitte US-India offices has the power to redefine your ambitions.
The Team
Regulatory & Legal Services
We help organizations in their efforts to achieve regulatory and legal compliance and transform their departments to add greater value to the business. We combine highly specialized skills in discovery and data management, corporate investigations, Foreign Corrupt Practices Act, and anti-fraud with financial acumen and advanced analytics to produce transformative insights.
Within R&LS, Deloitte Advisory’s Model Risk Management (MRM) is one of the services we offer to our clients where we help them manage their risks around model usage. The team is comprised of professionals with diverse backgrounds, including Masters in Statistics, Mathematics, Physics, Finance, Financial Engineering and PhDs in various quantitative fields, etc. Our team is focused on qualitative assessment and quantitative modeling in the areas of Market Risk, Credit Risk, Operational Risk, Liquidity Risk, Fraud Risk as per regulatory guidelines like CCAR/Stress Testing, BASEL II.5 / III in US and CRD IV/CRR in EMEA regulations. The team also does valuation of complex financial products such as derivatives and structured products. Our value proposition includes industry, financial accounting and business process knowledge, proven methodologies that include risk and control concepts, deep expertise in advanced quantitative, data extraction, data mining and analytical skills.
Work you’ll do
The key job responsibilities will be to:
• Work on consulting projects related to financial instrument modeling, model review, securities pricing, and risk management including support for regulatory compliance.
• Develop or validate equity, FX, and hybrid based exotic pricing models with a focus on conceptual assessment and assumptions testing.
• Perform quantitative analysis focused on Profit Attribution Analysis (PAA), Stress Testing and Non- modellable Risk Factors (NMRFs) for the models being validated.
• Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.
• Design, implement and critique on calibrations of parametrized valuation models such as Black Scholes, Hull & White, SABR, Heston, etc.
• Assess IPV methodology for external clients covering products across all asset classes.
• Assist client in Advisory projects around the evolving issues e.g., XVA, IBOR Transition, etc. that affect the valuation of derivatives and structured products.
Required skills
• • Familiarity with valuation of fixed income instruments, derivatives on interest rates, foreign exchange, equity, and credit. Understanding of financial derivatives, stochastic calculus, and numerical techniques for derivatives pricing (Monte Carlo / Finite Difference).
• Familiarity with various quantitative measures related to Market Risk (e.g., VaR, Expected Shortfall, etc.) and Counterparty Credit Risk (e.g., Expected Exposure, Expected Potential Exposure, etc.)
• 1-4 years of experience with quantitative analysis technical tools such as Python, R, MATLAB, SAS, etc.
• Familiarity with tools like Bloomberg, Refinitiv, Murex, etc. is a plus.
• Experience in model validation like Asset Liability Management, Economic Capital Models, etc. is a plus.
• Understanding of financial regulations (like FRTB), products or financial processes is a plus
• Ability to explain difficult financial modeling/valuation concepts to diverse audiences and to experts at various clients.
• Related bank/consulting experience is a plus
Preferred skills
• Certifications: CFA / FRM / CQF
• Experience in programming languages such as Python or R
Qualification
• Masters in Stats / Math / Physics/ Economics / Quantitative Finance
• MBA with Finance major
• PhD in an advanced quantitative subject is a plus