Pricing Model Validation 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 discipline such as Mathematics, Physics, Financial Engineering, or Computer Science.
• Experience in model validation, quantitative analytics, or model development within a trading or investment banking environment.
• Strong understanding of pricing methodologies for derivatives, including stochastic calculus, volatility modeling, and numerical techniques (e.g., Monte Carlo simulation, finite difference methods).
• Programming proficiency in Python is essential; knowledge of C++, MATLAB, or similar languages is a plus.
• Familiarity with model governance frameworks and regulatory expectations around model validation (e.g. SR11-7, Basel standards) is desirable.
• Clear communication skills with the ability to produce technical documentation and present findings to senior stakeholders.

Desirable Skills:

• Experience validating models for CVA, FVA, XVA or structured products.
• Exposure to pricing platforms such as Murex, Numerix, or in-house libraries.
• Knowledge of machine learning techniques in a quantitative finance context is an advantage.