Job Description

Quantitative Valuation (Fair Value Accounting, Wholesale Lending)
Location: Bangalore / Pune / Chennai
Level: Consulting Manager & Sr Consulting Manager
Notice Period: 60 to 90 days
Role Summary
Lead the development, governance, and oversight of fair value models for Wholesale Banking - Lending & Valuation portfolios, ensuring compliance with IFRS 13 / ASC 820, internal Model Risk Management (MRM) policies, and regulatory Model Validation standards such as SR 11-7. Drive automation, innovation, and stakeholder engagement to deliver accurate and transparent valuation processes.
Key Responsibilities
Define and execute valuation strategy for wholesale lending portfolios.
Oversee model development, validation, and governance aligned with SR 11-7 principles and ECB TRIM guidelines.
Partner with Finance, Risk, and Audit for financial reporting and regulatory reviews.
Guide a team of Data Scientists and Quant developers and foster a culture of compliance and innovation.
Drive automation and explore AI/ML for valuation and scenario analysis.
Required Qualifications
BE/BTech and MBA/Master's in Finance, Mathematics, or related quantitative discipline.
10+ years in quantitative valuation, fair value accounting, and model validation.
Expertise in IFRS 13 / ASC 820, SR 11-7, ECB TRIM and wholesale lending products.
Advanced proficiency in Python / SAS / SPSS / MATLAB (any two mandatory) and large-scale data wrangling exposure in SQL / Hadoop / Scala.
Strong customer facing and stakeholder management skills along with the ability to guide Consultants and grow the practice.
KPIs
MRM Compliance: 100% adherence to SR 11-7 and internal governance.
Model Validation: Timely completion of validations and remediation of models.
Audit Findings: Zero high-severity issues related to valuation models.
Automation: Achieve X% automation of valuation processes within 12 months.
Accuracy: Maintain valuation variance within acceptable thresholds.
Preferred
Experience with Basel, IFRS 9, CECL frameworks.
Familiarity with governance committees and regulatory interactions.
Exposure to AI/ML for valuation and risk modeling.

Skills Required