Deputy Manager | Credit Risk | Delhi | Regulatory & Financial Risk

Deputy Manager | Regulatory, Risk & Forensic – Regulatory and Financial Risk | Credit Risk Quants

• Location:  Gurgaon

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

• Perform independent validation of Advanced IRB / Foundation IRB models including:


• PD, LGD, EAD, and CCF modelling methodologies


• Rating system design and performance


• RWA attribution and capital impact assessment


• Assess model methodologies and assumptions for diverse wholesale product exposures including:


• Corporate and SME lending (term loans, revolving credit, working capital facilities)


• Project and infrastructure finance


• Financial institutions & sovereign portfolios


• Commercial Real Estate (CRE) and income-producing real estate


• Trade finance, supply chain, and asset-based lending


• Leveraged finance and private capital exposures


• Evaluate model conceptual soundness, data representativeness, risk differentiation, and calibration methodology


• Review and challenge:


• Model segmentation, overrides, downturn calibration, and economic cycle considerations


• Treatment of collateral, guarantees, credit mitigants, and default definitions


• Regulatory compliance with Basel III/IV IRB requirements and regional supervisory rules


• Conduct model performance testing including:


• Discriminatory power, back-testing, stability monitoring, sensitivity, and benchmarking


• Prepare high-quality validation documentation with clear findings, limitations, and remediation actions


• Support regulatory engagements, addressing model findings, remediation evidence, and audit requests


• Partner with Model Development, Credit Policy, Data Governance, and Capital Management teams to ensure models are fit-for-purpose and well-controlled

Key skills required: 

• Experience with Corporate lending, project finance, commercial real estate, private equity exposures


• Stress testing frameworks (CCAR/ICAAP) and IRB-to-IFRS 9 model linkages


• Regulatory interactions with PRA, ECB, Fed/OCC, OSFI, etc.


• Ability to articulate quantitative findings to non-technical senior stakeholders


• Core Competencies


• Effective challenge and independent risk oversight mindset


• High attention to detail and documentation discipline


• Stakeholder influencing and relationship management


• Ability to manage multiple validations under tight timelines


• Experience in modelling or validation of Wholesale IRB capital models, IFRS9, Climate Risk Modelling experience within large banking organizations


• Strong technical skills in Python, R, SAS, SQL and knowledge of credit modelling statistics


• Deep knowledge of:


• IRB rating system architecture and approvals


• Basel III/IV capital rules for wholesale credit


• Model risk governance expectations (e.g., SR 11-7)


• Strong analytical judgment and written communication skills


• Desired qualifications Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field


• 4 to 6 years of experience in modelling or validation of Wholesale IRB capital models, IFRS9, Climate Risk Modelling experience within large banking organizations


• Strong technical skills in Python, R, SAS, SQL and knowledge of credit modelling statistics