Vice President – Quant Model Risk – Banking/Financial Services Black Turtle

The Corporate Institute; Mumbai; On-site; INR 3,500,000 - 7,500,000; Full time

Job summary

The Corporate Institute in Mumbai seeks an experienced Quant Model Risk Vice President to lead an end-to-end risk governance program for derivatives pricing models. You will assess complex models, mentor junior staff, and collaborate with Front Office and Risk teams to ensure robust model risk controls.

The role emphasizes strong mathematical foundations, model governance experience, and hands-on coding in Python/C++.

Qualifications

• 7+ years in a quantitative finance environment with exposure to derivatives pricing.
• Strong mathematical knowledge of pricing, simulation, stochastic processes, and numerical methods.
• Experience with model risk governance, validation, and independent review is preferred.
• Exposure to interests rates, FX, equity, credit, or commodities from a model FO/validation perspective.
• Advanced degree in a quantitative field (MSc/PhD).
• Strong coding skills in Python and C++.

Responsibilities

• Carry out model reviews by analyzing the conceptual soundness of pricing models and engines.
• Assess model behavior and the suitability of pricing models for products/structures.
• Provide guidance on model usage and be the first contact for new models and changes.
• Develop and implement alternative model benchmarks and performance metrics.
• Evaluate model performance on a regular basis.
• Liaise with developers, Front Office, Risk and Valuation Control Groups to guide model risk.
• Manage, develop, train, and mentor junior team members.

Skills

Derivatives pricing

Stochastic processes

Partial differential equations

Statistics

Python

C++

Communication skills

Education

MSc in Quantitative Finance

PhD in Mathematics/Physics/Engineering

Job description

Job Description:

We are looking for a new member to join our Interest Rates team within the Model Risk Governance and Review Group, which is responsible for end-to-end model risk management across the firm.

As a Quant Model Risk Vice President, you will assess and help mitigate the model risk of complex models used for valuation and risk measurement of derivatives, with a focus on Interest Rates derivatives. You will work closely with model developers, Front Office, Valuation Control Groups, and model users, while gaining exposure to a variety of business and functional areas.

You will also have managerial responsibility for overseeing, training, and mentoring junior members of the team.

Job Responsibilities:

• – Carry out model reviews by analyzing the conceptual soundness of complex pricing models, engines, and reserve methodologies.
• – Assess model behavior and the suitability of pricing models and engines for specific products/structures.
• – Provide guidance on model usage and act as the first point of contact for the business on new models and changes to existing models.
• – Develop and implement alternative model benchmarks, compare outcomes across models, and design model performance metrics.
• – Evaluate model performance on a regular basis.
• – Liaise with model developers, Front Office, Risk and Valuation Control Groups to provide guidance on model risk.
• – Manage, develop, train, and mentor junior members of the team.

Required Qualifications, Capabilities, and Skills:

• – 7+ years of experience in a quantitative finance environment (e.g., Front Office quantitative research, model validation, strats, hedge funds), with exposure to derivatives pricing.
• – Strong conceptual and mathematical knowledge of derivatives pricing, simulation techniques, probability theory, stochastic processes, partial differential equations, statistics and numerical analysis.
• – Practical knowledge of derivatives, their risk drivers, and quantitative models used for pricing and hedging derivatives.
• – Exposure to at least one of the following asset classes: interest rates, FX, equity, credit, or commodities, preferably from a model validation or FO perspective.
• – MSc, PhD, or equivalent qualification in a quantitative discipline such as Mathematics, Quantitative Finance, Statistics, Engineering, Physics, or a related field.
• – Inquisitive mindset, with the ability to ask the right questions, challenge assumptions, and escalates issues appropriately.
• – Excellent written and verbal communication skills.
• – Strong coding skills, for example in C/C++ or Python.

Preferred Qualifications, Capabilities, and Skills:

• – Direct experience with interest rate derivatives and related pricing models such as SABR and Hull-White.
• – Familiarity with model risk management frameworks, model governance, benchmarking, and independent model validation.