Manager | Model Validation Quant - CCR | Hyderabad | Regulatory & Financial Risk (Hyderabad, IN)

Location: Hyderabad

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 )

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