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Consultant | Regulatory, Risk & Forensic – Regulatory and Financial Risk | Credit Risk - Location: Delhi 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 - Desired qualifications - Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field - 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 - 2 to 3 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