Manager | Model Validation Quant - CCR | Bangalore | Regulatory & Financial Risk
• Job requisition ID : 103181
• Location: Bengaluru
• Entity: Deloitte Touche Tohmatsu India LLP
The Team
Deloitte Strategy, Risk & Transaction helps entities mitigate risk while discovering new opportunities to create value. Our end-to-end risk services span all domains, from managing strategic risks in the C-Suite to improving board oversight, and from balancing financial and environmental policies to addressing cyber threats. Learn more about Risk, Regulatory & Forensic)
Your work profile
- Supporting on formalizing and documenting CCR testing framework to be followed for model validation.:
- Review current framework and identify the areas of enhancement
- List down structured set of tests, validations and controls to be applied to ensure that CCR models are fit for purpose, regulatory compliant and risk sensitive
- Ensure that an end to end testing procedure is created and documented in following areas :.
- Model methodology testing involving assumption testing, risk sensitivity testing (greeks vs exposure response) etc
- Input data testing involving market data quality, CSA/collateral data, netting set information etc
- Exposure profile testing, Back testing and benchmarking
- Regulatory testing as per Basel requirements and capital impact validation
Key skills required:
- Minimum 5-8 years of relevant experience
- Desired qualifications Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field
- In order to be considered for the role, your competencies will cover the broad scope of business modelling services, leveraging your professional background and skills such as:-
- Strong quantitative and statistical skills with experience of previously working within areas of CCR or market risk.
- Experience in risk model validation.
- Able to communicate effectively, both orally and in writing, with multiple stakeholders.
- Excellent time management and planning skills with experience of working under pressure.
- Ability to remain organized and able to prioritize multiple incident priorities.
- Highest standards of personal integrity, professional conduct and ethics.
- Excellent inter-personal skills with experience of briefing, de-briefing and presenting to senior stakeholders and having effective listening skills.
- Adept at using MS Office and other software packages.
- Governance and monitoring
- Liaise with business stakeholders and understand specific ask for any specific set of models