Vice President – Quant Model Risk Black Turtle

The Corporate Institute; Mumbai; On-site; INR 3,500,000 - 5,200,000; Full time

Job summary

The Corporate Institute in Mumbai, India, seeks an experienced quantitative finance professional to lead model reviews, validate complex pricing models, and guide model risk. You will assess model behavior, develop benchmarks, and collaborate with Front Office and Risk teams.

Ideal candidates hold a PhD/MSc in a quantitative field, with strong coding skills in C/C++ or Python, and a track record of mentoring junior staff. This role offers growth in a challenging, finance-focused environment.

Qualifications

• 7+ years in a quantitative finance environment with exposure to derivatives pricing.
• Strong conceptual and mathematical knowledge of derivatives pricing, simulation techniques, probability theory, stochastic processes, PDEs, statistics and numerical analysis.
• Practical knowledge of derivatives, risk drivers, and models used for pricing and hedging derivatives.
• Exposure to 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.
• Inquisitive mindset, ability to ask the right questions, challenge assumptions, and escalate issues appropriately.
• Excellent written and verbal communication skills.
• Strong coding skills, for example in C/C++ or Python.

Responsibilities

• Carry out model reviews by analyzing the conceptual soundness of 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.

Skills

Coding (C/C++ or Python)

Mathematical modeling

Communication skills

Questioning/escalation

Education

MSc/PhD in Mathematics/Quant Finance/Statistics/Engineering/Physics

Job description

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 **escalate** issues appropriately.
• Excellent written and verbal communication skills.
• Strong coding skills, for example in C/C++ or Python.