Job Description
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:
1. Perform independent validation of pricing models cross asset classes, with a focus on derivatives.
2. Assess the conceptual soundness, implementation correctness, and ongoing performance of pricing and valuation models.
3. Rebuild models in Python or other quantitative libraries to benchmark performance and accuracy.
4. Review model documentation, assumptions, numerical methods, calibration techniques, and risk sensitivities.
5. Conduct quantitative testing including backtesting, stress testing, and scenario analysis.
6. Liaise with model developers and Front Office quants to understand model design and propose improvements where necessary.
7. Contri...