Senior Analyst Manager- Valuation

Arcesium; Gurugram District; On-site; INR 1,400,000 - 2,600,000; Full time

Job summary

Arcesium seeks a Senior Analyst/Manager for its Valuation team to build, calibrate, and maintain pricing models across CDS, IRS, bonds, and inflation swaps. The role involves independent verification of client portfolios against market and model benchmarks, with room to grow into mentoring.

You will calibrate curves, run IPV, and support valuation governance, collaborating with trading desks and risk teams to automate valuation workflows and drive process improvements.

Responsibilities

• Design, build, and maintain pricing models for CDS, IRS, government and corporate bonds, and inflation swaps with curve construction, discounting, and day-count conventions.
• Perform IPV and compare internal marks against market data sources; document differences and remediation.
• Calibrate and stress-test yield curves, credit curves, and inflation curves; validate outputs against benchmarks.
• Prepare valuation reserve analyses and support valuation committees; assist audits and regulatory reviews.
• Collaborate with trading, risk, product control, and tech teams to automate valuation workflows using Python/SQL.

Job description

Job Description:

We are looking for a Senior Analyst / Manager to join our Valuation team. In this role, you will build, calibrate, and maintain pricing models across complex asset classes - including credit default swaps (CDS), interest rate swaps (IRS), fixed income bonds, and inflation swaps and independently verify the fair value of client portfolios against market and model benchmarks. This is a high-visibility, individual-contributor role with direct exposure to trading desks, risk managers, and fund controllers at our client organizations, and with room to grow into a review/mentoring capacity

What you'll do:

• Design, build, and maintain independent pricing models for CDS, IRS, government and corporate bonds, and inflation swaps (zero-coupon and year-on-year), incorporating appropriate curve construction, discounting, and day-count conventions.
• Perform daily, weekly, and month-end Independent Price Verification (IPV) by comparing internal/front-office marks against independent market data sources (e.g., Bloomberg BVAL, IHS Markit, ICE Data Services, Refinitiv) and internally derived model prices.
• Investigate and resolve pricing breaks and tolerance exceptions; document root causes, assumptions, and remediation in line with the firm's valuation policy. Provide explanation of PNL attributable to different components of pricing.
• Calibrate and stress-test yield curves, credit curves (hazard-rate stripping), and inflation curves used across the pricing library; validate model outputs against theoretical and market benchmarks.
• Prepare valuation reserve and fair-value hierarchy (ASC 820 / IFRS 13) analysis and support quarterly valuation committee packs for client funds.
• Partner with trading, risk, product control, and technology teams to enhance and automate the valuation model library, improving accuracy, coverage, and turnaround time.
• Support internal and external audit, regulatory, and client due-diligence requests by providing clear, well-documented explanations of pricing methodology.
• Contribute to process improvement and automation initiatives, including migrating manual valuation workflows to Python/SQL-based tooling.
• Rates & Credit Derivatives: Interest rate swaps, basis swaps, swaptions, credit default swaps (single-name and index), total return swaps.
• Inflation Products: Zero-coupon and year-on-year inflation swaps, inflation-linked bonds.
• Fixed Income: Government and corporate bonds, floating rate notes, convertible bonds, and other cash instruments.

What you'll need:

• 3-6 years of experience in valuation, independent price verification, product control, or quantitative risk - at an investment bank, hedge fund, asset manager, fund administrator, or independent valuation vendor.
• Strong working knowledge and application of derivative pricing and fixed income mathematics: discounting/OIS curves, curve bootstrapping, hazard-rate models for credit, and inflation curve construction.
• Hands-on experience building or maintaining pricing models for at least two of: CDS, IRS, bonds, or inflation swaps.
• Proficiency in Excel/VBA; working knowledge of Python and/or SQL for model development and automation.
• Bachelor's or Master's degree in Finance, Financial Engineering, Mathematics, Statistics, Economics, or a related quantitative finance field.
• Excellent analytical, written, and verbal communication skills, with the ability to explain complex valuation concepts to non-technical stakeholders.
• CFA, FRM is big plus
• Familiarity with third-party pricing and analytics platforms such as Bloomberg (BVAL), IHS Markit.
• Prior experience with fair value hierarchy classification (ASC 820 / IFRS 13) and valuation governance frameworks.
• Hands-on experience with FinCad is a strong advantage
• Experience working directly with buy-side clients (hedge funds, asset managers) or within a fund administration / valuation control environment.

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