Description:
- Validate pricing and valuation models across asset classes including Equities, FX, Energy, Electricity, and bespoke/structured derivatives.
- Independently recreate and 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, identify gaps, and recommend improvements.
- Contribute to global model validation initiatives across multiple regulatory jurisdictions.
- Lead and mentor a small team (12 members) ensuring technical rigor and high-quality delivery.
- Collaborate with quantitative analysts, risk teams, and technology teams on model implementations and enhancements.
- Utilize tools such as AI-assisted coding platforms, UNIX/Linux, shell scripting, git, R, SQL, and VBA for model validation and automation where applicable.
What You Bring:
- 12+ years of experience, with at least 50% focused on pricing and valuation model validation.
- Experience managing a small team (12 people).
- Strong quantitative background; Masters degree in a relevant field required (Finance, Mathematics, Statistics, Physics, or similar).
- Deep understanding of derivative pricing methodologies across multiple markets.
- Hands-on programming expertise in C++ and Python (mandatory).
- Solid foundation in object-oriented programming, with willingness to work extensively in C++ (core systems) and other languages (Java/Python).
- Experience with market risk and pricing risk models; limited exposure to credit risk acceptable.
- Strong analytical mindset, problem-solving skills, and ability to communicate technical findings clearly.
Preferred Skills:
- Exposure to AI-assisted coding platforms, UNIX/Linux, shell scripting, git, R, SQL, and VBA.
- Experience with model automation and performance optimization.
- Familiarity with regulatory reporting and compliance related to model risk management.
Title:- Vice President Model Risk Management (Pricing & Valuation Models)
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