Senior Associate - Model Risk Management

Macquarie Group; Gurugram District; Hybrid; INR 1,200,000 - 1,800,000; Full time

Benefits offered by this job

Wellbeing leave day

Maternity/Parental leave

Childcare subsidies

Volunteer leave and donations

Medical and life insurance

Learning and development support

Hybrid and flexible working

Equipment reimbursement

Job summary

Macquarie Group is seeking a quantitative professional to provide assurance on the integration of financial and mathematical models used for derivative pricing, capital calculations, and credit provisioning. You will validate products and rates by recreating calculations and prepare reports for senior management and regulators.

You will support model risk management activities while collaborating with your team and stakeholders.

Qualifications

• Master’s degree in a quantitative field with 2+ years in pricing models.
• Strong knowledge of financial markets and derivative pricing techniques.
• Experience in object-oriented programming (C++ and Python).
• Good problem solving, attention to detail, and communication skills.
• Experience with R, SQL, VBA, UNIX/Linux and Git is advantageous.

Responsibilities

• Provide assurance on integration of pricing, capital, and credit models.
• Validate models by recreating calculations and produce reports for senior management and auditors.
• Support model risk management activities and collaborate with teams.
• Contribute to regulatory and audit reviews and model governance.

Skills

Derivative pricing

Model validation

C++

Python

R

SQL

VBA

UNIX/Linux

Git

Analytical skills

Education

Master’s degree in quantitative discipline

Bachelor’s degree in quantitative discipline

Tools

C++

Python

R

SQL

VBA

UNIX/Linux

Shell scripting

Git

Job description

Job Description

In this role, you will provide assurance on the integration of financial and mathematical models for derivative pricing, capital calculations, and credit provisioning in Macquarie systems.

You will validate financial products and rates by independently recreating their calculations and create reports to highlight review findings for senior management, model review committees, auditors, and regulators.

Additionally, you will support model risk management activities while collaborating with your team and other stakeholders.

We are a global financial services group operating in 30 markets with 57 years of unbroken profitability.

At Macquarie, you’re empowered to shape a career that is fulfilling and creates value. You will bring your insights and expertise to the task at hand and feel supported as you make your own kind of impact for a better future.

What role will you play?

If you have a keen interest in risk management across key financial models while working in a supportive and inclusive culture, join our Model Risk Management team. Our team is responsible for reviewing and approving Macquarie’s risk models across capital, credit provisioning and pricing. It provides assurance on the suitability of Macquarie's internally developed models by conducting a range of model validations whilst ensuring all models are integrated correctly in our trading and risk management systems.

What You Offer

• Master’s level study and at least one degree in a quantitative discipline with 2 years of relevant experience in pricing models.
• Good understanding of financial markets and mathematical techniques for pricing derivatives;
• Experience in object-oriented programming on languages such as C++ and python;
• Problem solving and analytical skills, great attention to detail, and strong verbal and written communication skill; and
• Experience working on R, SQL, VBA, UNIX/Linux, shell scripting and git is advantageous.

What We Offer

Benefits

• 1 wellbeing leave day per year
• 26 weeks’ paid maternity leave or 20 weeks’ paid parental leave for primary caregivers along with 12 days of paid transition leave upon return to work and 6 weeks’ paid leave for secondary caregivers
• Company-subsidised childcare services
• 2 days of paid volunteer leave and donation matching
• Benefits to support your physical, mental and financial wellbeing including comprehensive medical and life insurance cover, the option to join parental medical insurance plan and virtual medical consultations extended to family members
• Access to our Employee Assistance Program, a robust behavioural health network with counselling and coaching services
• Access to a wide range of learning and development opportunities, including reimbursement for professional membership or subscription
• Hybrid and flexible working arrangements, dependent on role
• Reimbursement for work from home equipment

About the Risk Management Group

Our Risk Management Group works as an independent, and centralised function, responsible for independent and objective review and challenge, oversight, monitoring and reporting in relation to Macquarie’s material risks. We are a global team that aims to manage the risks of today and anticipate the risks of tomorrow. Our divisions include compliance, credit, financial crime risk, market risk, operational risk, aggregate risk and prudential, and central.

Inclusion at Macquarie

We are committed to providing an inclusive environment for all, where different experiences, skills and perspectives are valued and respected. Macquarie provides access to opportunities for all individuals regardless of race, colour, religion, sex, sexual orientation, national origin, age, disability, protected veteran status, genetic information, marital status, gender identity or any other characteristic or circumstance.

We provide reasonable adjustments to individuals who may need support during the recruitment process and employment. If you require an adjustment, please let us know during the application process.