MUMBAI · FULLTIME
Equity Portfolio Pricing & Valuations Manager
Millennium Consulting
Mumbai · onsite · Posted 1d ago
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Undisclosed12–20 yrsfulltimeMumbai
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Section · 01
About this role
Equity Portfolio Pricing Valuations Manager
What You''ll Do
What You Bring
Who We Are Millennium Management is a global investment management firm founded in 1989 that manages approximately $79 billion in assets. Millennium has more than 2,300 employees with offices in the United States, Europe and Asia. Over the last 25+ years, our mission has remained constant: to deliver the alternative investment industrys highest quality returns to our investors, and to maintain a commitment to our principles of integrity, discipline and excellence.
Meet the Team The team (Equity Valuations / Portfolio Pricing and Valuations) is responsible for pricing and valuing equity positions and independently verifying marks across the firm''s equity books globally (US, EMEA, APAC). This role sits at the intersection of trading, risk, and quantitative analytics, focusing on the accurate pricing and valuation of equity autocallable products. You will own the end-to-end valuation process, ensuring robust daily PL, transparent attribution, and strong model governance across a complex structured products portfolio.
What You''ll Do
- Pricing Daily PL:Own the official end-of-day marking and PL production for all equity autocallable products, ensuring prices are accurate, consistent, and aligned with market data and internal policies.
- PL Explanation Attribution:Decompose daily and periodic PL into clear components, including market movements (Greeks-based PL), idiosyncratic events, trading activity, and other factors, to provide transparent explanations to traders, risk, finance, and senior management.
- Model Calibration:Calibrate model and reserve parameters to observable market datasets (e.g., volatility surfaces, correlations, dividends) and maintain robust calibration methodologies and documentation.
- Model Risk Reserves:Support the testing, validation, and rollout of new pricing models; compute, review, and post appropriate model reserves in line with model risk policies.
- Counterparty Valuation Oversight:Monitor portfolio valuations versus counterparty marks, investigate and reconcile material differences, and help drive fair value and dispute resolution processes.
- Controls Lifecycle Monitoring:Design and enhance systematic controls to track lifecycle events for autocallable products (e.g., coupon payments, barrier events, calls), ensuring accurate reflection in positions, valuations, and PL.
What You Bring
- An advanced degree (or equivalent) in a quantitative discipline such as Engineering, Mathematics, Physics, or similar, with at least 12+ years of relevant experience in equity derivatives, structured products, or quantitative finance.
- Advanced knowledge of equity derivatives products, their risk profiles (Greeks), and common valuation methodologies for structured products and exotics.
- Strong coding skills (e.g., Python, C++, or similar) and the ability to work efficiently with large datasets, automation, and analytics tools.
- Highly detail-oriented, with a strong sense of ownership, rigor, and accountability in pricing, controls, and documentation.
- Collaborative team player with strong communication skills and a willingness to support and partner with trading, risk, technology, and operations.
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Section · 02
Skills
Equity Portfolio PricingAutomationModel RiskAnalytics toolsmarket datamathematicsInvestment managementpricing modelsequity derivativesPhysicsDispute ResolutionDividendsPythonCommunication SkillsoperationsEquityfinance