MRM Pricing - Consultant Job in PAN India at Deloitte

Deloitte is hiring for the role of MRM Pricing - Consultant!

Responsibilities of the Candidate:

• Work on consulting projects related to financial instrument modeling, model review, securities pricing, and risk management including support for regulatory compliance.
• Develop or validate equity, FX, and hybrid based exotic pricing models with a focus on conceptual assessment and assumptions testing.
• Perform quantitative analysis focused on Profit Attribution Analysis (PAA), Stress Testing and Non- modellable Risk Factors (NMRFs) for the models being validated.
• Assess valuation methodology for fixed income instruments and derivatives on interest rates, foreign exchange, equity, and credit.
• Design, implement and critique on calibrations of parametrized valuation models such as Black Scholes, Hull & White, SABR, Heston, etc.
• Assess IPV methodology for external clients covering products across all asset classes.
• Assist client in Advisory projects around the evolving issues e.g., XVA, IBOR Transition, etc. that affect the valuation of derivatives and structured products.
• 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).

Requirements:

• 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.)
• 1-4 years of experience with quantitative analysis technical tools such as Python, R, MATLAB, SAS, etc.
• Familiarity with tools like Bloomberg, Refinitiv, Murex, etc. is a plus.
• Experience in model validation like Asset Liability Management, Economic Capital Models, etc. is a plus.
• Understanding of financial regulations (like FRTB), products or financial processes is a plus
• Ability to explain difficult financial modeling/valuation concepts to diverse audiences and to experts at various clients.
• Related bank/consulting experience is a plus.
• Masters in Stats / Maths / Physics/ Economics / Quantitative Finance
• MBA with Finance major
• PhD in an advanced quantitative subject is a plus.