Senior Manager - Market Securities – Derivative and Pricing Model (Development/Validation) consultant
- Bangalore, Karnataka
- Permanent
- Full-time
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Inviting applications for the role of Senior Manager, Market Securities – Derivative and Pricing Model (Development/Validation) consultant!
In this role, this position requires a seasoned professional as a Senior Manager with specialized knowledge of regulatory and market securities. This role involves overseeing the development, enhancement, and validation of Pricing- Derivatives and hedging models (linear and non-linear) span across asset class like Interest rate, FX, Equity, ensuring compliance with regulatory and internal bank standards, and driving innovation in risk management practices.
Responsibilities
You will be primarily working as a consultant for the managing and driving risk consulting engagements in Derivatives/Pricing and market risk covering both regulatory and quantitative topics. The role will require interacting with and managing various stakeholders of a bank including their model risk and validation team, 1st line model development team, Treasury teams and internal/external auditors to ensure the Enterprise Modeling Governance standards are followed; Your activities will include, but will not be limited to the following:
- Manage internal team and client stakeholders
- Provide thought leadership, develop, and execute comprehensive modeling strategies aligned with business objectives and industry best practices.
- Leading the building and/or validating of Pricing- Derivatives and hedging models (linear and non-linear) along with corresponding performance metrics, ensuring accuracy, reliability, and compliance with regulatory standards. Conduct rigorous testing and validation methodologies to ensure model robustness and reliability.
- Models can span across asset class like Interest rate, FX, Equity
- Supporting development/validation for regulatory programs such as CCAR and FRTB by the major regulators such as PRA, OCC, FRB, ECB, HKMA, OSFI
- Provide support to banks in implementing the model risk management framework as per regulatory requirements for 1st and 2nd line teams
- Provide analytical support for recommending actions to mitigate risk and use judgment-based decision-making regarding policies and procedures.
- Assess the quality of the data for model development/validation as well as inputs to the model, providing recommendations to improve the data quality at the source.
- Lead, train, and mentor junior members in the team, providing guidance, support, and fostering a collaborative and innovative team culture.
- Propose recommendations to improve monitoring systems and capabilities based on identified risk and control gaps.
- Remain up to date with the evolving regulatory landscape related to market risk/counterparty credit risk and contributing to the creation of whitepapers. Researching and contributing to artifacts creation as required in a consulting role.
- Build and maintain strong relationships with client stakeholders (at all levels of seniority).
- Internal and client team management, program management, driving project delivery, delivery ownership, identifying sales opportunities etc.
Minimum Qualifications
- Relevant years of experience in FO pricing, valuation control, developing, validating models and risk management of market (traded) risk and non-traded risk models
- Candidate should have experience in developing or validating Pricing- Derivatives and hedging models (linear and non-linear). This can span across asset class like Interest rate, FX, Equity.
- Understanding of derivative products like Vanilla Options, Swaps, Bonds, Exotic Options and Vol products.
- Understanding of Sensitives like Delta, Gamma, Vega, Rho, Theta, Skew, Smile.
- Understanding of Duration concepts like Macaulay, Modified, Effective Duration and convexity.
- Understanding of Yield curve construction and discount factor calculations.
- Knowledge of Numerical Methods used (Lattice Based - Binomial or Trinomial), Simulation based (MC) and Analytical based (PDE).
- Candidate should have experience in basic models like Black Scholes, Binomial and Trinomial, Hull white etc.
- Understanding of Volatility models like SABR/ Shifted SABR models, HJM models, volatility models like Stochastic / local vol models.
- Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods and stochastic calculus; mastering programming languages such Python, C++, R or VBA.
- Good business acumen with the knowledge of finance, business, or regulatory submission processes
- Consulting skills – Program management, team management, client stakeholder management,
- Good expertise of different phases of model development and/or validation life cycle.
- Educational qualification with an analytical or quantitative background (Engineering/Physics/Maths/Finance/Management/Statistics/Economics/Data Science etc.)
- Strong model documentation/model validation report writing skills
- Strong communication/presentation skills – written & verbal.
- Strong proficiency in developing PowerPoint presentation, advanced excel, and report writing.
- Lead projects and teams - provide thought leadership, technical guidance, training, and oversight.
- Be a transformation leader – Work at the cutting edge of AI, automation, and digital innovation
- Make an impact – Drive change for global enterprises and solve business challenges that matter
- Accelerate your career – Get hands-on experience, mentorship, and continuous learning opportunities
- Work with the best – Join 140,000+ bold thinkers and problem-solvers who push boundaries every day
- Thrive in a values-driven culture – Our courage, curiosity, and incisiveness - built on a foundation of integrity and inclusion - allow your ideas to fuel progress
Let’s build tomorrow together.Genpact is an Equal Opportunity Employer and considers applicants for all positions without regard to race, color, religion or belief, sex, age, national origin, citizenship status, marital status, military/veteran status, genetic information, sexual orientation, gender identity, physical or mental disability or any other characteristic protected by applicable laws. Genpact is committed to creating a dynamic work environment that values respect and integrity, customer focus, and innovation.
Furthermore, please do note that Genpact does not charge fees to process job applications and applicants are not required to pay to participate in our hiring process in any other way. Examples of such scams include purchasing a 'starter kit,' paying to apply, or purchasing equipment or training.