Advisory Senior Consultant

Deloitte & Touche LLP seeks a Advisory Senior Consultant in New York, NY.

Work You'll Do

Advisory Senior Consultant in Analytics to compile and analyze data. Perform valuation of structured finance products using FAS 133 and FASB 157 fair value guidelines. Model cash flows for securitized transactions containing wide variety of underlying asset classes. Understand clients' business environment and basic risk management approaches. Demonstrate general knowledge of market trends and competitor activities, products, and service lines. Participate in decision making with engagement management and seek to understand broader impact of current decisions. Build and nurture strong client relationships. Apply technical accounting standards, financial reporting, valuation techniques and methodologies for derivatives, quantitative risk assessment and forecasting models, structured finance transactions, cash flow modeling, data integrity, data modeling, statistical sampling, capital markets transaction support and due diligence.



  • Bachelor's (or higher) degree in Accounting, Finance, Economics, Business Administration, or related field (willing to accept foreign education equivalent).
  • Two years of model validation and financial instrument valuation experience.
  • Experience must include two years of:
  • Performing model validation tailored to Model Risk Management regulatory guidance (OCC2011-12/SR 11-7), validating a wide range of models including bank credit rating model, loan collateral haircut(LCH) model, wholesale/retail credit models (PD/LGD/ALLL), interest rate models, VaR models, hazard rate model, and CCAR/DFAST Stress Testing (including component models for default forecasting, PPNR forecasting, and operational risk models);
  • Developing PPNR forecasting models for multiple business lines within a financial institution using macroeconomic variables as predictors, preparing base and stressed projections of balance sheets and income statement for both internal and supervisory scenarios, peer reviewing and improving model documentation for models such as PPNR, NIR/NIX, Loan Spreads, and drafting FR Y-14A reports for CCAR submission;
  • Developing models in VBA to price derivatives, including swaps, swaptions, caps/floors, forwards, options, warrants and credit default swaps using Binomial Tree and Monte Carlo Simulation, and calibrating implied volatility based on LIBOR data using Hull-White model;
  • Performing model replication and building challenging models using Excel, SAS, and R;
  • Conducting full modeling lifecycle, including model framework design, data collection and reconciliation, time series analysis, model estimation/development, assumption testing, back-testing, benchmarking, sensitivity analysis, stress scenario testing, implementation and documentation;
  • Conducting fair value estimation for complex financial instruments including loan pools, MBS, ABS, CLOs and other fixed income derivatives, and utilizing quantitative analysis technical tools and techniques, including Bloomberg, Intex, FinCAD, and SuperDerivatives;
  • Performing fair lending analysis with respect to the application of ECOA, TILA, and HMDA, and conducting statistical analysis to examine potential discrimination; and
  • Automating loan testing templates and database using databases management tools, including SQL, Excel Macros and Access.
  • Position requires approximately 20% travel.


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Requisition code: XSFH18FA0717NYC5

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