VP - Pricing Risk Model Management

1 day ago

Gurgaon, Haryana, India Three Across Full time

Role: 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 (1–2 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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