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RA- R&LS- FIRR - Consultant - Market Risk Quants

Pune Pune Maharashtra, Maharashtra, India
Competitive Salary
Closing date
Feb 15, 2024

View more

Job Role
Risk Manager
Contract Type
Full Time
What impact will you make

Every day, your work will make an impact that matters, while you thrive in a dynamic culture of inclusion, collaboration and high performance. As the undisputed leader in professional services, Deloitte is where you'll find unrivaled opportunities to succeed and realize your full potential

Deloitte is where you'll find unrivaled opportunities to succeed and realize your full potential.

The Team

Discover the various Financial Risk services, we offer to help organizations across the full life cycle of financial transaction. From governance and processes to technology and reporting, our services can enhance transparency, efficiency, compliance and financial integrity.

Work you'll do

Employment Type: Full Time, Permanent

Pune or Bangalore

Designation : Analyst to Assistant Manager ( 0-4 years)

Notice Period - 0-30 days


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.

. Familiarity with risk factor model lability concepts, and adeptness in calculating capital requirements under FRTB guidelines.

. Perform the back test of the distribution of simulated risk factors

. Conduct quantitative analysis of market data, including historical market data and current market trends, to identify potential risks and recommend appropriate risk mitigation strategies

Model development :

. Collaborate with business stakeholders to understand their needs and translate them into technical requirements for models.

. 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

. Analyze model outputs and make recommendations for risk management strategies

. Monitor and maintain models to ensure they are performing optimally

Model Validation :

. Develop and implement test plans for statistical/machine learning models.

. 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.


. Master's degree in financial engineering, statistics, or a related field, or equivalent experience.

. Experience in model development and validation for financial risk management, including experience in market risk, liquidity risk, and stress testing would be an additive.

. Strong understanding of financial modeling techniques, statistical analysis, and risk management principles.

. Experience with programming languages such as Python, R, or SAS.

. Excellent communication and problem-solving skills.

. Ability to work independently and as part of a team.

. Strong ability to learn and adapt to new technologies and methodologies.


Any Graduate/Post Graduate

Key Skills

Skills highlighted with '' are preferred keyskills

Quants , , ,

, , , , , Stochastic Calculus, CECL, , black-scholes, Market Risk Quant

VaR modelling quantitative modeling Market Risk Analytics

Your role as a leader

At Deloitte India, we believe in the importance of leadership at all levels. We expect our people to embrace and live our purpose by challenging themselves to identify issues that are most important for our clients, our people, and for society and make an impact that matters.

In addition to living our purpose, Consultant or Assistant Manager across our organization:

  • Builds own understanding of our purpose and values explores opportunities for impact
  • Demonstrates strong commitment to personal learning and development acts as a brand ambassador to help attract top talent
  • Understands expectations and demonstrates personal accountability for keeping performance on track
  • Actively focuses on developing effective communication and relationship-building skills
  • Understands how their daily work contributes to the priorities of the team and the business

How you'll grow

At Deloitte, our professional development plan focuses on helping people at every level of their career to identify and use their strengths to do their best work every day. From entry-level employees to senior leaders, we believe there's always room to learn. We offer opportunities to help build world-class skills in addition to hands-on experience in the global, fast-changing

business world. From on-the-job learning experiences to formal development programs at Deloitte University, our professionals have a variety of opportunities to continue to grow throughout their career.


At Deloitte, we know that great people make a great organization. We value our people and offer employees a broad range of benefits.

Our purpose

Deloitte is led by a purpose: To make an impact that matters .

Every day, Deloitte people are making a real impact in the places they live and work. We pride ourselves on doing not only what is good for clients, but also what is good for our people and the communities in which we live and work-always striving to be an organization that is held up as a role model of quality, integrity, and positive change.

Recruiter tips

We want job seekers exploring opportunities at Deloitte to feel prepared and confident. To help you with your interview, we suggest that you do your research: know some background about the organization and the business area you're applying to.

Skills: VaR, monte carlo , Time Series Analysis, Python, Sas, Regression Analysis, Bayesian Statistics

Experience: 0.00-4.00 Years

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