| Company | Deloitte |
| Job Title | Manager – Credit Risk Quant |
| Practice | Regulatory & Financial Risk |
| Location | Chennai |
| Job Requisition ID | 104030 |
| Entity | Deloitte Touche Tohmatsu India LLP |
| Experience | 2–7 years |
| Education | Master’s degree in Quantitative Finance, Financial Mathematics, Statistics, Economics, Engineering, MBA or related field |
| Certifications | FRM, CFA, CQF preferred |
| Role Focus | Model development, review and validation |
| Market Risk Models | FRTB IMA, FRTB SA, Basel 2.5, VaR, Expected Shortfall, Sensitivities |
| Counterparty Credit Risk | IMM, EPE, EE, PFE, XVA and exposure models |
| CCR Models | SA-CCR, XVA, risk-factor simulation and exposure models |
| Margin Models | DIM, SIMM, IM and VM |
| Stress Testing | CCAR, DFAST and ICAAP |
| Model Validation | Independent review and validation of risk models |
| Model Assessment | Evaluate model inputs, outputs, assumptions and conceptual soundness |
| Performance Testing | Benchmarking, sensitivity analysis and back-testing |
| Model Risk | Identify implementation issues, model risks and remediation actions |
| Regulatory Reporting | Validation and model-risk reports aligned with SR 11-7, ECB and PRA expectations |
| Quantitative Skills | Statistical modelling, quantitative research and stochastic calculus |
| Mathematics | Probability theory, change of measure and numerical methods |
| Statistical Techniques | ADF, KPSS, Durbin-Watson and related statistical tests |
| Risk Metrics | VaR, Expected Shortfall, sensitivities, EPE, EE, PFE, EAD and SA-CCR |
| Risk Management | Stress testing, scenario analysis and risk management strategies |
| Financial Instruments | Equities, fixed income, FX and commodities |
| Key Skills | Market Risk, Credit Risk, FRTB, CCR, Stress Testing, Quantitative Modelling and Model Validation |
| Ideal Candidate | Quantitative risk professional with 2–7 years of relevant experience in Market Risk, CCR, FRTB or Stress/Capital Models |
