Quantitative Analyst

Job Title: Pricing Model Validation Analyst

Location:London

Department:Model Validation / Quantitative Analytics

Reporting to:Head of Model Validation

Overview:

An international investment bank is seeking a Pricing Model Validation professional to join its London-based Model Validation team. This role focuses on the independent review and validation of pricing and risk models used across the firm’s trading and risk platforms. The function sits independently from Risk and works closely with Front Office Quants, IT, and Model Developers.

Key Responsibilities:

• Perform independent validation of pricing models cross asset classes, with a focus on derivatives.
• Assess the conceptual soundness, implementation correctness, and ongoing performance of pricing and valuation models.
• Rebuild models in Python or other quantitative libraries to benchmark performance and accuracy.
• Review model documentation, assumptions, numerical methods, calibration techniques, and risk sensitivities.
• Conduct quantitative testing including backtesting, stress testing, and scenario analysis.
• Liaise with model developers and Front Office quants to understand model design and propose improvements where necessary.
• Contribute to validation reports that meet internal governance and regulatory expectations.
• Maintain ongoing monitoring of model performance, usage, and limitations.

Candidate Profile:

• MSc or PhD in a quantitative field.
• Knowledge of quantitative finance, in particular stochastic calculus and numerical methods.
• Fluency with Microsoft Word and Excel, working with potentially large spreadsheets.
• Fluency with programming languages (e.g., C++, VBA)
• Experience with all aspects of Model Validation, preferably across different asset classes.
• An analytical person with a growth mindset.
• A lateral thinker with ability and eagerness to identify and challenge assumptions.
• Ability to catch up and adapt quickly to new work environment.
• Ability to understand and write scientific documentation on quantitative finance, in particular pricing models.
• Ability to extract headlines and synthetise them concisely.
• Ability to perform efficient model testing, including slicing and dicing.
• Ability to adapt their communication to diverse stakeholders.