VP – Model Risk Management (Pricing & Valuation Models)

Role: AVP/ VP Model Risk Management (Pricing & Valuation Models)

Location: Gurugram

We are looking for experienced professionals to join a high-impact Model Risk Management team, driving independent validation of pricing and valuation models across global markets.

This role sits at the intersection of quantitative finance, risk governance, and technologyideal for professionals who bring depth in derivative pricing along with a strong understanding of broader risk models.

Key Responsibilities:

• Lead independent validation of pricing and valuation models across asset classes (Equities, FX, Energy, Structured Products, etc.)
• Recreate and benchmark complex model calculations for derivative pricing, capital, and provisioning
• Conduct end-to-end model reviews and present findings to senior stakeholders, committees, auditors, and regulators
• Ensure model integrity and seamless integration within trading and risk systems
• Contribute to global model validation initiatives across regulatory jurisdictions
• Lead and mentor a small team while ensuring high-quality technical delivery

Ideal Candidate Profile:

• 12+ years of experience with strong exposure to pricing & valuation model validation
• Deep expertise in derivative pricing methodologies across markets
• Experience across multiple model types Pricing (mandatory), along with Market Risk / CCR / AI-ML models
• Strong programming skills in C++ and Python (both essential)
• Solid quantitative background (Masters degree required)
• Proven analytical ability with strong communication and stakeholder management skills
• Prior experience in team management

Additional Advantage:

• Exposure to AI-assisted coding tools, UNIX/Linux, shell scripting, git, R, SQL, VBA
• This is an opportunity to be part of a globally integrated risk function, working on complex models that directly influence trading, capital, and regulatory outcomes.

In a world increasingly driven by complex algorithms, the real edge lies not just in building models, but in rigorously challenging them.