Senior Associate - Model Risk Management

Macquarie; Gurugram District; On-site; INR 1,500,000 - 2,800,000; Full time

Job summary

Macquarie in Gurugram invites a quantitative specialist to join the Model Risk Management team. You will validate the integration of financial and mathematical models used for derivative pricing, capital calculations, and credit provisioning within Macquarie systems.

You will recreate calculations independently, produce review reports for senior management, and support model risk management activities in a collaborative, inclusive environment with cross‑functional teammates.

Qualifications

• Master's level study with a degree in a quantitative discipline and 2 years of pricing model experience.
• Strong understanding of financial markets and derivative pricing techniques.
• Experience programming in C++ and Python.
• Proven problem solving, detail orientation, and communication skills.
• Experience with R, SQL, VBA, UNIX/Linux, shell scripting and Git is advantageous.

Responsibilities

• Validate integration of financial and mathematical models for pricing, capital calculations, and credit provisioning in Macquarie systems.
• Recreate calculations and prepare reports for senior management and regulators.

Skills

Derivative pricing

Model risk assessment

Python

C++

SQL

Communication skills

Education

Master's degree in quantitative discipline

Tools

R

VBA

UNIX/Linux

Shell scripting

Git

Job description

Location: Gurugram

Job type: Permanent - Full time

Job Summary

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.

Responsibilities

• 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.

Qualifications

• 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.