Consulting | EH | FY26 | DAM | MRM Pricing - Consultant

Job Description

Summary Position Summary Jobtitle: ModelRiskManagement– Pricing – Consultant (ASA/SA) About At Deloitte, we do not offer you just a job, but a career in the highly sought-after risk management field. We are business leaders in the risk market and work with a vision to make the world more prosperous, trustworthy, and safe. Our clients, primarily based outside of India, 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 these risks 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 risk-centric solutions across a variety of domains. In the process, you will gain exposure to the challenges related to risk management faced in today’s world by organizations across a range of industry sectors and become subject matter experts in those areas. Our professionals help organizations effectively navigate business risks and opportunities – from strategic, reputation, and financial risks to operational, cyber, and regulatory risks – to gain competitive advantage. We apply our experience in ongoing business operations and corporate lifecycle events to help clients become stronger and more resilient. Our market-leading teams help clients embrace complexity to accelerate performance, disrupt through innovation, and lead in their industries. We use cutting-edge technologies like AI/ML techniques, analytics, and risk process automation (RPA) to solve Deloitte’s clients’ most complex issues. Working in Deloitte US-India offices has the power to redefine your ambitions. The Team We help organizations in their efforts to achieve regulatory and legal compliance and transform their departments to add greater value to the business. We combine highly specialized skills in discovery and data management, corporate investigations, Foreign Corrupt Practices Act, and anti-fraud with financial acumen and advanced analytics to produce transformative insights. Within Deloitte, Model Risk Management (MRM) is one of the services we offer to our clients where we help them manage their risks around model usage. The team is comprised of professionals with diverse backgrounds, including Masters in Statistics, Mathematics, Physics, Finance, Financial Engineering and PhDs in various quantitative fields, etc. Our team is focused on qualitative assessment and quantitative modeling in the areas of Market Risk, Credit Risk, Operational Risk, Liquidity Risk, Fraud 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. Workyou’ll do The key job responsibilities will be to: Workonconsultingprojectsrelatedtofinancialinstrumentmodeling,modelreview,securities pricing, and risk management including support for regulatory compliance. Developorvalidateequity,FX,andhybridbasedexoticpricingmodelswithafocusonconceptual assessment and assumptions testing. PerformquantitativeanalysisfocusedonProfitAttributionAnalysis(PAA),StressTestingandNon- modellable Risk Factors (NMRFs) for the models being validated. Assessvaluationmethodologyforfixedincomeinstrumentsandderivativesoninterestrates, foreign exchange, equity, and credit. Design,implementandcritiqueoncalibrationsofparametrizedvaluationmodelssuchasBlack Scholes, Hull & White, SABR, Heston, etc. Assess IPV methodology for external clients covering products across all asset classes. AssistclientinAdvisoryprojectsaroundtheevolvingissuese.g.,XVA,IBORTransition,etc.that affect the valuation of derivatives and structured products. Required Skills Familiarity with valuation of fixed income instruments, derivatives on interest rates, foreign exchange, equity, and credit. Understanding of financial derivatives , stochastic calculus, and numerical techniques for derivatives pricing (Monte Carlo / Finite Difference). Familiarity with various quantitative measures related to Market Risk (e.g., VaR, Expected Shortfall, etc.) and Counterparty Credit Risk (e.g., Expected Exposure, Expected Potential Exposure, etc.) 1-4yearsofexperiencewithquantitative analysis technical tools such as Python, R, MATLAB, SAS, etc. Familiarity with tools like Bloomberg, Refinitiv, Murex, etc. is a plus. ExperienceinmodelvalidationlikeAssetLiabilityManagement,EconomicCapitalModels,etc.isa plus. Understanding of financial regulations (like FRTB), products or financial processes is a plus Abilitytoexplaindifficultfinancialmodeling/valuationconceptstodiverseaudiencesandtoexperts at various clients. Related bank/ consulting experience is a plus. Preferred Skills Certifications: CFA / FRM / CQF Experience in programming languages such as Python or R Qualification Masters in Stats / Maths / Physics/ Economics / Quantitative Finance MBA with Finance major PhD in an advanced quantitative subject is a plus. How You Will Grow At Deloitte, we’ve 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 exactly the same way. So, we provide a range of resources including live classrooms, team-based learning, and eLearning. DU: The Leadership Center in India, our state-of-the-art, world-class learning Center in the Hyderabad offices is an extension of the Deloitte University (DU) in Westlake, Texas, and represents a tangible symbol of our commitment to our people’s growth and development. Explore DU: The Leadership Center in India Benefits At Deloitte, we know that great people make a great organization. We value our people and offer employees a broad range of benefits. Learn more about what working at Deloitte can mean for you . Deloitte’s culture Our positive and supportive culture encourages our people to do their best work every day. We celebrate individuals by recognizing their uniqueness and offering them the flexibility to make daily choices that can help them to be healthy, centered, confident, and aware. We offer well-being programs and are continuously looking for new ways to maintain a culture that is inclusive, invites authenticity, leverages our diversity, and where our people excel and lead healthy, happy lives. Learn more about Life at Deloitte . Corporate citizenship Deloitte is led by a purpose: to make an impact that matters. This purpose defines who we are and extends to relationships with our clients, our people and our communities. We believe that business has the power to inspire and transform. We focus on education, giving, skill-based volunteerism, and leadership to help drive positive social impact in our communities. Learn more about Deloitte’s impact on the world . Our purpose Deloitte’s purpose is to make an impact that matters for our people, clients, and communities. At Deloitte, purpose is synonymous with how we work every day. It defines who we are. Our purpose comes through in our work with clients that enables impact and value in their organizations, as well as through our own investments, commitments, and actions across areas that help drive positive outcomes for our communities. Our people and culture Our inclusive culture empowers our people to be who they are, contribute their unique perspectives, and make a difference individually and collectively. It enables us to leverage different ideas and perspectives, and bring more creativity and innovation to help solve our clients' most complex challenges. This makes Deloitte one of the most rewarding places to work. Professional development At Deloitte, professionals have the opportunity to work with some of the best and discover what works best for them. Here, we prioritize professional growth, offering diverse learning and networking opportunities to help accelerate careers and enhance leadership skills. Our state-of-the-art DU: The Leadership Center in India, located in Hyderabad, represents a tangible symbol of our commitment to the holistic growth and development of our people. Explore DU: The Leadership Center in India . Benefits To Help You Thrive At Deloitte, we know that great people make a great organization. Our comprehensive rewards program helps us deliver a distinctly Deloitte experience that helps that empowers our professionals to thrive mentally, physically, and financially—and live their purpose. To support our professionals and their loved ones, we offer a broad range of benefits. Eligibility requirements may be based on role, tenure, type of employment and/ or other criteria. Learn more about what working at Deloitte can mean for you. Recruiting tips From developing a stand out resume to putting your best foot forward in the interview, we want you to feel prepared and confident as you explore opportunities at Deloitte. Check out recruiting tips from Deloitte recruiters. Requisition code: 303620