Audit & Assurance Manager, Quantitative Credit Risk at Deloitte

Manager, Quantitative Credit Risk Valuation & Analytics

Position Summary

Deloitte's Valuation & Analytics team develops independent fair value estimates and evaluates clients' credit risk models to support audit and advisory engagements. As a Manager focused on quantitative credit risk, you will support audit engagement teams by assessing methodologies and key assumptions used by client management to estimate the Allowance for Credit Losses (ACL) under FASB ASC 326 (CECL) and U.S. GAAP. You will analyze model design and implementationranging from spreadsheet approaches to advanced methods such as machine learning, Monte Carlo simulation, and logistic regressionand communicate clear, defensible conclusions. You may also contribute to advisory projects involving quantitative analytics.

Work You'll Do

As a Manager, Quantitative Credit Risk on the Valuation & Analytics team, you will be responsible for:

• Evaluating ACL/CECL methodologies for consistency with ASC 326 (CECL) and U.S. GAAP and documenting conclusions.
• Reviewing and analyzing model code in SAS, Python, and/or R to assess implementation against model documentation and controls.
• Designing and executing data analytics using tools such as SAS, Python, R, SQL, Tableau, Power BI, and VBA to support audit objectives.
• Developing process improvements and tooling to increase efficiency through automation and standardization.
• Collaborating with audit engagement teams and presenting complex quantitative concepts to technical and non-technical stakeholders.

Qualifications Required:

• Bachelor's degree in accounting, finance, information systems, statistics, business analytics, mathematics, economics, industrial and operations engineering, computer engineering, decision sciences, data science or related field.
• 6+ years of professional experience.
• 1+ years of experience managing and supervising teams.
• Experience in credit risk modeling, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), including development and/or validation of credit loss models.
• Experience with financial modeling and valuation techniques.
• Active professional certification: CPA, CFA, FRM, PMP or related certification.
• You should reside within a commutable distance of your assigned office with the ability to commute daily, if required.
• You should expect to co-locate with team members or other colleagues in a Deloitte office, at a client site and/or virtually, based on specific team and business expectations.
• Ability to travel up to 10%, on average, based on the work you do and the clients and industries/sectors you serve.
• Limited immigration sponsorship may be available.

Preferred:

• Advanced degree in a quantitative discipline.
• Proficiency in SAS, Python, R, and/or SQL.
• Understanding of CECL approaches, including loss-rate/vintage, PD/LGD, migration/roll-rate, probability-weighted scenarios, and discounted cash flow (DCF) methods.
• Experience reviewing model performance evidence, including back-testing, benchmarking, sensitivity analyses, and outcomes analysis of ACL drivers.
• Knowledge of portfolio types under CECL, such as commercial and industrial (C&I), commercial real estate (CRE), consumer, residential mortgage, credit card, and auto.
• Experience with model risk management and evaluating third-party CECL solutions and vendor models.
• Experience working with large datasets and econometric models.
• Experience developing independent fair value estimates for financial instruments.

The wage range for this role takes into account the wide range of factors that are considered in making compensation decisions including but not limited to skill sets; experience and training; licensure and certifications; and other business and organizational needs. The disclosed range estimate has not been adjusted for the applicable geographic differential associated with the location at which the position may be filled. At Deloitte, it is not typical for an individual to be hired at or near the top of the range for their role and compensation decisions are dependent on the facts and circumstances of each case. A reasonable estimate of the current range is $116,175 to $233,250.

You may also be eligible to participate in a discretionary annual incentive program, subject to the rules governing the program, whereby an award, if any, depends on various factors, including, without limitation, individual and organizational performance.

Deloitte is committed to providing reasonable accommodations for people with disabilities. If you require a reasonable accommodation to participate in the recruiting process, please direct your inquiries to the Global Call Center (GCC) at [email protected].

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Qualified applicants with criminal histories, including arrest or conviction records, will be considered for employment in accordance with the requirements of applicable state and local laws, including the Los Angeles County Fair Chance Ordinance for Employers, City of Los Angeles's Fair Chance Initiative for Hiring Ordinance, San Francisco Fair Chance Ordinance, and the California Fair Chance Act.

Requisition code: 327611

Job ID 327611