Senior Vice President, Data Science Manager (Pune)

BNY Mellon; Pune District; On-site; INR 4,000,000 - 7,000,000; Full time

Job summary

BNY Mellon in Pune seeks a Senior Vice President, Data Science Manager to lead governance and production-grade AI for Markets. You will own prompt engineering, model selection, RAG/KAG architectures, and ongoing governance across pricing and risk analytics libraries in C++/Python.

Responsibilities include designing agent logic, ensuring auditable outputs, and delivering MRMG/DURB artefacts while monitoring model behavior in production. This role emphasizes explainability and compliance.

Qualifications

• Strong knowledge of FX and Fixed Income pricing and risk measures.
• Experience designing AI/ML solutions with governance.
• Proficient in C++ and Python for analytics.

Responsibilities

• Design, validate, and operate AI agents across their lifecycle.
• Own prompt engineering, model selection, and governance.
• Develop pricing and risk analytics libraries in C++/Python.
• Define agent logic and boundaries for Markets use cases.
• Design reliable prompts with versioning and testing.
• Document MRMG/DURB-ready artefacts in parallel with development.
• Monitor model behavior in production and drift.
• Ensure outputs are auditable and explainable.

Skills

AI governance

Prompt engineering

C++/Python

FX pricing

Tools

C++

Python

Analytics libraries

Job description

Senior Vice President, Data Science Manager

Were seeking a future team member for the role of Senior Vice President, Data Science Manager to join our Markets team. This role is located in Pune.

In This Role, You'll Make an Impact in the following ways

This role enables production-grade, governed AI capabilities for Markets by designing, validating, and operating AI agents across their full lifecycle. The individual will own prompt engineering, model selection, RAG/KAG architectures, and ongoing model governance, ensuring AI solutions are explainable, stable, and compliant with DURB and MRMG expectations.

• Excellent knowledge of FX and Fixed Income products pricing, yield curve construction, scenario analysis, sensitivities calculations, PFE, VaR, and CCAR stress scenarios.
• Pricing model development and OPM review for Rates, FX, and Equity models.
• Work with desk strats and quantitative analytics teams to develop, maintain, and support C++/Python analytics libraries used for pricing and risk analytics.
• Define agent logic, behavior, and boundaries for Markets use cases across risk, trading, credit, surveillance, and analytics.
• Design reliable, testable, and explainable prompts, with versioning and regression testing.
• Select, justify, and document AI/ML models appropriate to use case criticality and risk tier.
• Design AI architectures, including:
  • Retrieval Augmented Generation (RAG)
  • Knowledge Augmented Generation (KAG)
  • Agent-to-agent communication patterns
  • MCP-style server architectures for tool orchestration and control
• Establish validation and testing strategies so outputs are consistent, trusted, and auditable.
• Ensure AI agents remain assistive, bounded, and compliant over time.
• Produce MRMG / DURB-ready artefacts such as methodology, data lineage, controls, and fallback plans in parallel with development.
• Monitor model and agent behavior in production, including drift, instability, and control breaches.
• Continuously tune prom .