AVP/ VP

2 days ago


Gurugram Gurugram India Three Across Full time

Job Description Role: AVP/ VP Model Risk Management (Pricing & Valuation Models) Location: Gurugram Work Mode: Hybrid We are looking for a seasoned professional to join the Model Risk Management team, focusing on independent validation of pricing and valuation models across multiple asset classes. This is a critical leadership role requiring deep hands-on exposure to derivative pricing models and strong programming expertise. Role Overview In this role, you will: - Validate pricing and valuation models used across asset classes such as Equities, FX, Energy, Electricity, and other bespoke/structured derivatives. - Recreate and independently benchmark complex model calculations used for derivative pricing, capital assessment, and provisioning. - Conduct end-to-end model reviews and present findings to senior management, model committees, auditors, and regulators. - Ensure models are correctly integrated into trading and risk platforms, identifying gaps and influencing improvements. - Contribute to global model validation activities across multiple regulatory jurisdictions. - Lead and guide a small team (12 members), ensuring high-quality delivery and technical rigor. What You Bring - Minimum 12+ years of experience, with at least 50% of your experience in pricing and valuation model validation. - Must have experince in managing at least 1-2 people - Strong quantitative background (Master's degree required). - Deep understanding of derivative pricing methodologies across multiple markets. - Hands-on experience in C++ and Python (both are must-haves). - Solid foundation in object-oriented programming; openness to work extensively with C++ (core systems are C++, others in Java/Python). - Experience with market risk and pricing risk models; limited exposure to credit risk is acceptable but not essential. - Strong analytical mindset, problem-solving skills, and the ability to articulate technical findings clearly. - Experience working with tools such as AI-assisted coding platforms, UNIX/Linux, shell scripting, git, R, SQL, and VBA is an advantage. Great leaders don't just validate models they challenge assumptions and elevate the decisions built on them



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