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.
The key job responsibilities will be to:
- 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.
Qualifications
Must Have Skills/Project Experience/Certifications:
- 1-4 years of experience with quantitative analysis technical tools such as Python, R, MATLAB, SAS, etc.
- 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.)
- 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.
Good to Have Skills/Project Experience/Certifications:
- Certifications: CFA / FRM / CQF
- Experience in programming languages such as Python or R
We are looking for high-caliber professionals with strong foundations in credit risk modeling and hands-on experience in AI/ML techniques. The ideal candidate will contribute to the development and validation of regulatory and strategic risk models, while also applying machine learning and generative AI techniques to enhance model accuracy, efficiency, and interpretability.
Key Responsibilities
- Develop, validate, and document credit risk models (PD, LGD, EAD) for retail and wholesale portfolios across regulatory (CECL, IFRS 9, Basel) and business-use contexts.
- Apply AI/ML algorithms (e.g., LightGBM, XGBoost, Random Forest, Neural Networks) to improve prediction power and model performance beyond traditional approaches.
- Implement Generative AI and LLM-based applications using RAG pipelines, document intelligence, and model documentation automation. Experience with agentic frameworks like Autogen, LangChain, or similar would be helpful.
- Experience of development and deployment of models in cloud-based platforms such as Azure, AWS, GCP etc.
- Design explainable AI solutions by incorporating techniques like SHAP, LIME, and feature attribution methods to enhance transparency in high-stakes modeling environments.
- Partner with cross-functional teams, including business stakeholders, technology teams, and model governance, to ensure model alignment with business objectives and regulatory expectations.
- Contribute to innovation initiatives and support proposal development, thought leadership, and solution architecture in the AI/ML space.
Required Skills & Experience
- 2–6 years of total experience, with minimum 2 years in AI/ML or GenAI model development or validation.
- Strong understanding of credit risk modeling frameworks, scorecard development, and risk metrics (e.g., RWA, Expected Loss, Economic Capital).
- Proficient in Python and SQL, with hands-on experience using ML libraries such as scikit-learn, Tensorflow, Pytorch and transformer-based LLM packages
- Familiarity with regulatory standards such as CECL, IFRS 9, CCAR/DFAST, Basel II/III, SR 11-7, and model governance best practices.
- Exposure to cloud environments (Azure preferred), version control (Git), and workflow automation tools.
- Experience with credit bureau data, vendor models (e.g., FICO, Moody’s, S&P), and financial benchmarking is a plus.
- Ability to clearly communicate complex technical content to non-technical stakeholders through reports, dashboards, and presentations.
Education & Certifications:
- Master’s degree or higher in Statistics, Mathematics, Economics, Data Science, Engineering, or Finance.
- Professional certifications such as FRM, CFA, CQF, or in product management equivalent are preferred.
- Contributions to opensource AI / ML projects and competitions is preferred
FTI Consulting is the leading global expert firm for organizations facing crisis and transformation. We work with many of the world’s top multinational corporations, law firms, banks and private equity firms on their most important issues to deliver impact that makes a difference. From resolving disputes, navigating crises, managing risk and optimizing performance, our teams respond rapidly to dynamic and complex situations.
As a Market Risk Analyst at Axpo Solutions AG, you will play a key role in enhancing our risk analytics and market intelligence framework. You will collaborate with various teams to ensure effective risk assessment and reporting, contributing to our commitment to excellence in risk management.
What you will do:
- Further develop the company’s framework of risk analytics (market and liquidity risk) and market intelligence.
- Develop and maintain models and reports for risk assessment and P&L and risk reporting using tools like PowerBI, Dataiku, Power Apps, and Python.
- Analyze trading/origination portfolios regarding their risk profile and engage in discussions with front units, management, and other risk teams.
- Conduct in-depth analysis of selected topics at the request of senior management and audit teams.
What you bring & who you are:
- University degree in finance/economics or related fields with a strong quantitative/mathematical background.
- Further professional qualifications such as CFA, FRM, or CQF are advantageous.
- Solid knowledge of applied statistical and financial methods, financial instruments, and their valuation.
- Experience in financial risk management, particularly in the energy/commodity sector.
- Strong proficiency in Python, PowerBI, and SQL; familiarity with Dataiku, Power Apps and Power Automate is a plus.
- Proven experience in defining requirements and building P&L and market risk analytics solutions
- Excellent communication skills and experience in interacting with trading environments.
About the team:
The Market Risk team at Axpo Solutions AG is dedicated to enhancing the company’s risk management framework. Collaborating closely with various departments, the team ensures comprehensive risk assessment and reporting. A supportive environment fosters professional growth and encourages innovative approaches to risk analytics.
At EY, you’ll have the chance to build a career as unique as you are, with the global scale, support, inclusive culture and technology to become the best version of you. And we’re counting on your unique voice and perspective to help EY become even better, too. Join us and build an exceptional experience for yourself, and a better working world for all.
The key job responsibilities will be to:
- 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.
Qualifications
Must Have Skills/Project Experience/Certifications:
- 1-4 years of experience with quantitative analysis technical tools such as Python, R, MATLAB, SAS, etc.
- 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.)
- 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.
MAIN PURPOSE OF THE ROLE
- The successful candidate will be part of CPM for EMEA (ECPMO), which actively works with its business partners in the bank and the group to analyse new business opportunities, create and execute risk management solutions using various liquid or illiquid hedging tools such as CDS, Credit Insurance, Securitizations, Loans sales and Risk Participations and perform various analyses of the Bank’s loan portfolio.
- Specifically, the main purpose of this role is to provide advisory services to the Bank’s relationship managers and asset originators at the point of transacting. The role sits within ECPMO’s Advisory Team, whose primary responsibility is to support the Bank’s businesses in making lending and asset origination decisions that make best use of the Bank’s balance sheet (liquidity and capital). Additionally, the role will involve managing ad hoc projects where ECPMO can facilitate the execution of new, profitable transactions and to participate in the overall risk management process to improve the risk/return characteristics of the portfolio.
Key Responsibilities
To support the Advisory team in working with the Bank’s relationship managers and asset originators to:
- Advise them on the economics of transactions and from an overall client relationship perspective (RoE and relative value analysis). Actively monitor financial markets and economic developments to assist in appropriate benchmark selection as well as participate in market updates with business teams.
- Support devising exposure management strategies and to advise businesses on the economics of identified alternatives.
- Support advising optimal hold amounts to align with the bank’s risk appetite for retained credit risk.
- Liaise with the product specialist teams involved (loan sales, credit insurance, CDS).
- Perform risk-return analysis at the business line or portfolio level to help optimize portfolio constraints.
Skills And Experience
WORK EXPERIENCE
Essential:
Must demonstrate command of one of the following three skill sets and be eager to develop skills for the remaining skills::
- Understanding of corporate lending with specialty focus in either Corporate and or Project Finance lending, incl. corporate credit assessment;
- Understanding of credit pricing, regulatory capital, statutory and economic return measures in the area of fixed income;
- Understanding of risk mitigation products such as Credit Default Swaps Credit Insurance, Loan sales, Risk Participations and Securitization, preferably including within a portfolio context.
Preferred:
- Understanding of relationship banking and ancillary banking products such as fixed income, interest rate swaps, FX and cash management.
Primary Responsibilities include, but are not limited to:
- Research, development, enhancement, and documentation of IMM Counterparty credit risk, methodologies, and tools for regulatory and risk management purposes
- Perform analysis including model recalibrations, back-tests, stress tests, scenario, and sensitivity analyses.
- Programming of prototypes/production code (within an established C++/R /Python libraries) which will be productionized.
- Program, test and implement quantitative financial methods using Python, C++, VBA, R, Matlab and SQL
- Utilize advanced statistics, econometrics and mathematical skills including probability theory, stochastic calculus, Monte Carlo simulation, numerical analysis, optimization techniques and time series analysis
- Work with Technology on model testing, implementation, and production
- Collaborate with risk managers and other stakeholders to address their requests and for relevant model enhancements
- Participate in Regulatory and validation exams by providing documentation and responses to regulators and internal validators
Skills Required
What you’ll bring to the role:
- 0-2 (Analyst), 2.5+ (Associate) and 6+ (Director) years of work experience in quantitative modeling, Risk Management, algorithmic trading
- Analytical skills and ability to work with diverse cultures in a global team.
- Strong knowledge of financial traded products e.g. derivatives and their pricing.
- Knowledge and hands-on experience in one of the programming languages R, Python, MATLAB, C# or C++ is strongly preferred.
- Excellent communication skills (Oral and written). Ability to communicate and present logically, precisely and in simple manner, complex and technical issues.
Required Qualifications
- Graduate/Under-graduate/Advance degrees in finance, mathematics, physics econometrics, engineering or other quantitative subjects.
- Candidates should have a strong theoretical foundation in mathematics, quantitative finance and derivatives.
- Candidates will have to deal in Python, SQL queries, and MS-Office on daily basis.
Desirable Skillsets
- FRM, CFA, CQF certification is an advantage.
- Quantitative modeling experience in Finance/ Data Science
- Knowledge of risk mitigation practices and experience with Basel II/III/IV rules will be considered advantageous.
- Experience in one of the following AI, ML, NLP, Big Data Analytics, Tableau is an advantage
