Model Risk Management
At Deloitte, we do not offer you just a job but a career in the highly sought-after Risk Management field. We are the business leader in the risk and financial advisory market. We work to make the world more prosperous, trustworthy, and safe. Our clients 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 it 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 mission critical solutions across a variety of risk domains mostly for clients based outside of India. In the process, you will gain exposure to the challenges of a range of industry sectors and become subject matter experts.
In today’s financial world, MRM (Model Risk Management) has received heightened importance from the regulators across the globe and as a result of which the financial institutions are required to perform risk assessments periodically. We are looking for professionals with strong statistical / mathematical understanding in addition to a good finance knowledge.
Work you will do
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• Lead a team to develop or validate market risk models including VaR (Value-at-Risk), Stressed VaR, Specific Risk, ES (Expected Shortfall), IRC (Incremental Risk Charge), CRM (Comprehensive Risk Measure) etc.
• Perform conceptual assessment and testing for methodologies such as Historical Simulation, Parametric and Monte Carlo.
• Perform adequate data transformations (if needed) and data quality checks including missing data, outlier detection etc. and understand data filling techniques such as back-filling, interpolation, or extrapolation etc.
• Assess data using statistical analysis and evaluate risk factor sensitivities (Delta, Gamma, Vega, OAS) generation models for products across asset classes (e.g., equity, rates, FX, commodity, and credit including securitized products such as CDS, ABS, MBS, RMBS etc.).
• Perform quantitative analysis focused on assumptions testing, back-testing, sensitivity and stresstesting, and Non-modellable Risk Factors (NMRFs) for the models being validated.
• Work on consulting projects related to financial instrument modeling, model review, securities pricing, and risk management including support for regulatory compliance.
• Design, implement and critique on performance of market risk models.
• Assist clients in Advisory projects around the evolving issues e.g., pertaining to RNiV (Risk Not-In-VaR), IMA (Internal Model Approach), SA (Standardized Approach) and regulations such as FRTB, MRR that affect RWA (Risk-Weighted Assets) and Capital Calculations.
• Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.
The team
Deloitte Advisory’s MRM team is comprised of Masters in Statistics, Finance, Financial Engineering and Ph.Ds etc. focused on qualitative assessment and quantitative modeling in the areas of Market Risk, Credit Risk, Operational Risk, Liquidity 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.
Qualifications
Required (any one):
· Masters in Quantitative Finance
· MBA with Finance major
The key job responsibilities include the following:
· The work will focus on end to end qualitative and quantitative assessment of market risk models and discussing the key findings and model results with the client.
· Work on assigned project responsibilities and meet project requirements.
· Serve as member on engagement where responsibilities include detailed execution of modeling project sand documentation of modeling methodologies and results.
· Ability to multi-task and communicate effectively with clients and staff in consultative settings. Maintain effective communications with client and team to ensure client satisfaction.
The key skills required
· 10- 13yrs of Strong professionals with engineering/ mathematics and statistics background and/or relevant work experience in financial services and capital markets would be considered. Additionally, candidates with background in development and/or validation of market risk models with CFA/ FRM /CQF would be preferred.
· Background in mathematical finance at the level of a master’s level degree in Mathematical Finance, Mathematics of Finance, Financial Engineering or Quantitative Finance. Advanced degree like Ph.D. in related field is a plus.
· Background in derivatives finance with basic understanding of stochastic calculus and numerical techniques along with the understanding of modelling methodologies for market risk models like Historical Simulation, Parametric and Monte Carlo.
· Strong analytical and computer skills including experience with quantitative analysis technical tools and techniques such as Python, R etc.
- Personal characteristics should include presentation, consulting, project management, client handling, and training / mentoring skills; strong presence and good communications and