An exciting opportunity has arisen in the Deloitte SG Regulatory and Financial Risk advisory team, as a quantitative senior consultant. As a contributing member of the RFR advisory team within the financial services industry assurance practice, you will be providing business advisory services to a portfolio of diversified financial service clients across a range of topics, including Climate Risk modelling, cross-asset Derivatives Valuation, Capital Methodology and AI Model Validation services.

Responsibilities:

Your scope of work will include assisting clients with the following:

• Supporting quantitative modelling for complex and evolving areas such as Climate Risk Stress Testing and AI Model Validation
• Supporting quantitative analysis for Markets & Treasury products/models as well as Capital Methodology (e.g. FRTB, SACCR)
• Supporting IFRS 13 & IFRS 9 complex instrument valuation projects and answering questions from audit engagement teams
• Supporting the development of material for industry consultations and thought-leadership on regulatory matters
• Assisting the team in developing technical solutions and/or value adding propositions
• Overseeing training for more junior members of the team

Pre-requisites:

• Preferably with at least 2 years prior experience in a prior Banking or Consulting quantitative role (e.g. FO Quant, Model Validation or Capital Methodology quant)
• Strong academic background, with a minimum of a masters in a quantitative discipline (Mathematics, Physics, Financial Engineering) with a solid grounding in stochastic calculus
• Cross-asset derivatives pricing knowledge including awareness of Regulatory capital and XVA methodologies is a plus. Alternatively domain knowledge in Credit and/or Climate Risk.
• Proficient in either Python, C++ or C# with financial library development experience. Additional coding experience in R and VBA also advantageous.
• Solid analytical, writing and communication skills and ability to work independently.
• Team player with high personal standard of ethics, integrity and commitment to fulfilling the objectives of the position.