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Deloitte Touche Tohmatsu Limited, commonly referred to as Deloitte, is a British multinational professional services network headquartered in London, England.
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At Deloitte, we have invested a great deal to create a rich environment in which our professionals can grow. We want all our people to develop in their own way, playing to their own strengths as they hone their leadership skills. And, as a part of our efforts, we provide our professionals with a variety of learning and networking opportunities – including exposure to leaders, sponsors, coaches, and challenging assignments – to help accelerate their careers along the way. No two people learn in the same way.
At Deloitte, we are committed to building exceptional teams focused on innovation and value creation for our clients. Our growing Risk Advisory team in Pune & Bangalore is currently scouting for talented individuals with experience in Market Risk Quant.
Deloitte Entry Level role
Market Risk Quant – Risk Advisory – India
Employment Type: Full Time, Permanent
Location: Pune or Bangalore
Designation : Analyst to Assistant Manager ( 0-4 years)
Notice Period – 0-15 days
Job Description:
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.
Job 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.
Qualifications:
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.
Education
Any Graduate/ Post Graduate
Key Skills
Quants , Model Validation, Market Risk, Python
Bonds bloomberg, Derivatives, Statistics, Model Development, reuters, Stochastic Calculus, CECL, Pricing, black-scholes, Market Risk Quant
VaR modelling quantitative modeling C++,Market Risk Analytics ,Model Validation, Python.