Pricing Model Validation Quantitative Analyst

NatWest Group; City Of London; On-site; GBP 50,000 - 70,000; Full time

Job summary

A major financial institution in London is looking for a Pricing Model Validation Quantitative Analyst. In this role, you will validate pricing models, conduct quantitative analysis, and ensure model risks are effectively managed. Candidates should possess a postgraduate degree in a quantitative field and programming experience in C++ and/or Python. This position offers an opportunity to work in a dynamic environment with a focus on model risk management.

Qualifications

• Postgraduate degree at least to Master’s level in a highly quantitative subject.
• Strong problem-solving and analytical skills.
• Hands-on programming experience in C++ and/or Python.

Responsibilities

• Conduct thorough quantitative analysis to assess models.
• Challenge existing models and develop alternatives.
• Perform model risk analysis to satisfy regulatory queries.

Skills

Quantitative modelling

Problem-solving

Analytical skills

Education

Postgraduate degree in Mathematics, Physics, Statistics, or Quantitative Finance

Tools

C++

Python

Job description

Join us as a Pricing Model Validation Quantitative Analyst

• In this key role, you’ll review and independently validate assigned models, with a focus on pricing models, in accordance with the bank’s model risk policy and risk appetite
• You’ll apply your expertise in advanced quantitative modelling techniques, gained through business experience or applied academic research
• Communicating findings and recommendations effectively to stakeholders, you’ll ensure models remain suitable for their intended purpose
• You’ll contribute to the development of the team’s analytics codebase by adding functionality, fixing issues, and testing code
• You’ll assess Prudential Valuation and Model Risk Valuation Adjustment methodologies

What you'll do

You’ll be conducting thorough quantitative analysis to assess whether models are appropriate for their designated use, and ensure significant model risks are identified and effectively communicated to senior management and model end-users.

You’ll challenge existing models and their applications where necessary, and develop alternative models based on rigorous quantitative analysis.

Your responsibilities will also include:

• Performing model risk analysis to satisfy regulatory queries and requirements
• Developing solutions to automate validation activities
• Reviewing colleagues’ analysis, code, and reports
• Supporting and mentoring junior members of the team

The skills you'll need

We’re looking for you to have a postgraduate degree at least to Master’s level, in a highly quantitative subject such as Mathematics, Physics, Statistics, or Quantitative Finance.

You’ll have a strong combination of problem-solving and analytical skills, along with the ability to simplify complex concepts to ensure senior management understands key model risk issues.

We’ll also expect:

• Expertise in complex quantitative modelling and analysis, gained through experience in banking or other financial institutions, or through applied academic research
• Familiarity with financial markets and financial products
• Hands-on programming experience in C++ and/or Python
• The ability to work independently and manage multiple projects under demanding deadlines
• Excellent written and verbal communication skills